An empirical study of volatility in seven Southeast Asian stock markets using ARV models

Mike K. P. SO, K. LAM, Wai Keung LI

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17 Citations (Scopus)

Abstract

This paper investigates the volatility persistence, volatility variability from day to day and transmission of volatility in seven Southeast Asian stock markets from 1980 to 1991 using the ARV approach. We found strong evidence that shocks to volatility are persistent in Taiwan. Moreover, the Stock Exchange of Thailand Daily Index has the strongest interday volatility fluctuation. Instantaneous causality of volatility among six of the seven markets (except Seoul) was discovered. Besides, there is significant volatility spillover effect from Hong Kong to Taiwan, Malaysia to Singapore and Singapore to Malaysia in the period 1980 to 1991. Copyright © 1997 Blackwell Publishers Ltd.
Original languageEnglish
Pages (from-to)261-276
JournalJournal of Business Finance & Accounting
Volume24
Issue number2
DOIs
Publication statusPublished - Mar 1997

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Asian stock markets
Empirical study
Singapore
Malaysia
Taiwan
Volatility spillover
Hong Kong
Fluctuations
Volatility persistence
Stock exchange
Thailand
Spillover effects
Causality

Citation

So, M. K. P., Lam, K., & Li, W. K. (1997). An empirical study of volatility in seven Southeast Asian stock markets using ARV models. Journal of Business Finance & Accounting, 24(2), 261-276. doi: 10.1111/1468-5957.00104

Keywords

  • GARCH model
  • Persistence
  • Spillover
  • Volatility of volatility
  • Volatility transmission