Vol 9 , Issue 1 , January - June 2020 | Pages: 14-30 | Research Paper
( * ) denotes Corresponding author
The purpose of this paper is to study linkages between emerging and frontier markets of Asia. The impact of US financial crisis will be studied on the relationship of select markets. Daily data on closing prices of indices of India, Indonesia, Malaysia, Indonesia, Philippines, Sri Lanka and Pakistan is taken in local currency terms. Data spans from 2000 to 2010, and it is further sub divided in two parts – pre crisis (2000 to 2005) and During crisis ( 2006 to 2010). Johansen co- integration is applied, ADF and PP tests are applied to test stationary property of the time series. To understand short run linkages, Engle and Granger causality test is used. Results of Johansen test confirms the presence of long run relationship between the markets during crisis. Further, granger causality test confirms the presence of short run linkages between markets. Return and volatility spillovers are examined by GARCH model. This paper confirms significant changes in return and volatility spillovers in Pre and during crisis period.
stock market integration, volatility, spillover, unit root, GARCH, Granger causality, stationary, co- integration.