Abstract
The volatility spillover is defined as the transmission of instability from market to market. It occurs when the
volatility price change in one market causes a lagged impact on volatility price in another market above the local
effects of market. In this study the garch models are used to examine the possibility of volatility transmission
between the KSE100 index (Pakistan) and S&P500 index (usa); in other words, to examine how the volatility in
one market may influence the other and vice versa. The egarch model is also applied and it was observed that
our attempt to analyze symmetry and persistence in the KSE100 index and the S&P500 index volatility proved
that there is clear evidence that shocks to the volatitlity of the KSE100 and S&P500 indexes have asymmetric and
persistent effects. It is observed from the study that the shocks to the stock returns in one market do not transmit
to the other; in other words, it appears that there is no spill over effect between the two stock markets.
volatility price change in one market causes a lagged impact on volatility price in another market above the local
effects of market. In this study the garch models are used to examine the possibility of volatility transmission
between the KSE100 index (Pakistan) and S&P500 index (usa); in other words, to examine how the volatility in
one market may influence the other and vice versa. The egarch model is also applied and it was observed that
our attempt to analyze symmetry and persistence in the KSE100 index and the S&P500 index volatility proved
that there is clear evidence that shocks to the volatitlity of the KSE100 and S&P500 indexes have asymmetric and
persistent effects. It is observed from the study that the shocks to the stock returns in one market do not transmit
to the other; in other words, it appears that there is no spill over effect between the two stock markets.
| Original language | English |
|---|---|
| Pages (from-to) | 175-195 |
| Number of pages | 21 |
| Journal | Universidad & Empresa |
| Volume | 21 |
| Issue number | 36 |
| DOIs | |
| Publication status | Published - 24 Oct 2018 |
| Externally published | Yes |
| Event | 7th International Interdisciplinary Business-Economics Advancements Conference - Navigator of the Seas, Miami, United States Duration: 9 Apr 2017 → 14 Apr 2017 https://iibaconference.org/previous-conferences/7th-iiba-april-2017-florida-usa/7th-iiba-april-2017-florida-home/ |