South Asian Journal of Management

Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

An Assessment of Return Spillover Among Selected Stock Markets in SAARC Countries


Affiliations
1 CIU Business School, Chittagong Independent University, Chittagong, Bangladesh
     

   Subscribe/Renew Journal


This paper aims to examine the return spillover among the selective stock markets in South Asian Association for Regional Cooperation (SAARC) region, namely, Chittagong Stock Exchange of Bangladesh, Bombay Stock Exchange of India, Karachi Stock Exchange of Pakistan and Colombo Stock Exchange of Sri Lanka. Daily closing prices of selective indices of four countries were taken for a period of January 2005 to December 2014. The stationarity of the data was tested by using Augmented Dickey-Fuller unit ischolar_main and Phillips-Perron unit ischolar_main test simultaneously. Ordinary Least Square (OLS) is applied as all the return series are stationary. The contemporaneous and lag effects of other stock markets’ return on CSE are also tested. This study concluded that there were neither lag effects nor contemporaneous effects on each of the market indices so it may be concluded that there is no return spillover across these four stock markets. The Chittagong stock market is integrated with other SAARC bound markets neither individually nor collectively.

Keywords

OLS, Return, SAARC, Spillover, Stock Market.
User
Subscription Login to verify subscription
Notifications
Font Size

  • Alberg, D., Shalit, H., & Yosef, R. (2008). Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18(15), 1201-1208.

  • Amin, A. S., & Imam, M. O. (2008). Transmission of stock return and volatility across G-7 countries. Journal of Business and Policy Research, 3(2), 1-20.

  • Azzam, H. (2010). Volatility spillover effects on emerging stock markets. Journal of Economic Studies, 39(2), 178-211.

  • Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43(1), 29-77.

  • Bhar, R., & Nikolova, B. (2007). Analysis of mean and volatility spillovers using BRIC countries, regional and world equity index returns. Journal of Economic Integration, 369-381.

  • Das, R. U. (2009). Regional economic integration in South Asia: Prospects and challenges. Research and Information System for Developing Countries, RIS-DP, 157, 1-72.

  • Deep Sharma, G., & Bodla, B. S. (2011). Inter-linkages among stock markets of South Asia. Asia-Pacific Journal of Business Administration, 3(2), 132-148.

  • Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.

  • Errunza, V. R. (1994). Emerging markets: some new concepts. The Journal of Portfolio Management, 20(3), 82-87.

  • Joshi, P. (2011). Return and volatility spillovers among Asian stock markets. Sage Open, 1(1), 2158244011413474.

  • Karmakar, M. (2009). Price discoveries and volatility spillovers in S&P CNX Nifty future and its underlying index CNX Nifty. Vikalpa, 34(2), 41-56.

  • Khan, M. M. H., & Huq, U. R. (2012). Distribution of risk and return: A statistical test of normality on Dhaka Stock exchange, Research Journal of Finance and Accounting, 3(3), 28-38.

  • Kumar, R., & Dhankar, R. S. (2009). Asymmetric volatility and cross-correlations in stock returns under risk and uncertainty. Vikalpa, 34(4), 25-36.

  • Lamba, A. S. (2005). An analysis of the short-and long-run relationships between South Asian and developed equity markets. International Journal of Business, 10(4), 1-29.

  • Lee, J. (2010). Currency risk and volatility spillover in emerging foreign exchange markets. International Research Journal of Finance and Economics, 42(1), 37-44.

  • Li, Y., & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and asian emerging stock markets. International Journal of Finance & Economics, 20(2), 155-177.

  • Maghyereh, A., & Al-Zoubi, H. (2004). Modeling the Dynamic Interdependence of MENA Stock Markets. Journal of Economic Research, 9(2), 239-270.

  • Maghyereh, A., & Awartani, B. (2012). Return and volatility spillovers between Dubai financial market and Abu Dhabi stock exchange in the UAE. Applied Financial Economics, 22(10), 837-848.

  • Meric, I., & Meric, G. (1989). Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships. Journal of Banking & Finance, 13(4-5), 627-640.

  • Mohammadi, H., & Tan, Y. (2015). Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States. Econometrics, 3(2), 215-232.

  • Qayyum, A., & Mohsin, H. (2005). The Integration of Financial Markets: Empirical Evidence from South Asian Countries.

  • Raj, J., & Dhal, S. (2008). Integration of India’s stock market with global and major regional markets. Press & Communications CH 4002 Basel, Switzerland, 202-236.

  • S Sheng, H. C., & Tu, A. H. (2000). A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis. Journal of Multinational Financial Management, 10(3), 345-365.

  • Saha, M., & Bhunia, A. (2012). Financial market integration of south asian countries. Developing Country Studies, 2(1), 45-52.

  • Subhani, M. I., Hasan, S. A., Mehar, D., & Osman, M. (2011). Are the major South Asian equity markets co-integrated?, 1(12), 117-121.

  • Wang, M. C., & Shih, F. M. (2010). Volatility spillover: Dynamic regional and world effects. European Journal of Finance and Banking Research, 3(3), 29-38.


Abstract Views: 215

PDF Views: 0




  • An Assessment of Return Spillover Among Selected Stock Markets in SAARC Countries

Abstract Views: 215  |  PDF Views: 0

Authors

Emon Kalyan Chowdhury
CIU Business School, Chittagong Independent University, Chittagong, Bangladesh

Abstract


This paper aims to examine the return spillover among the selective stock markets in South Asian Association for Regional Cooperation (SAARC) region, namely, Chittagong Stock Exchange of Bangladesh, Bombay Stock Exchange of India, Karachi Stock Exchange of Pakistan and Colombo Stock Exchange of Sri Lanka. Daily closing prices of selective indices of four countries were taken for a period of January 2005 to December 2014. The stationarity of the data was tested by using Augmented Dickey-Fuller unit ischolar_main and Phillips-Perron unit ischolar_main test simultaneously. Ordinary Least Square (OLS) is applied as all the return series are stationary. The contemporaneous and lag effects of other stock markets’ return on CSE are also tested. This study concluded that there were neither lag effects nor contemporaneous effects on each of the market indices so it may be concluded that there is no return spillover across these four stock markets. The Chittagong stock market is integrated with other SAARC bound markets neither individually nor collectively.

Keywords


OLS, Return, SAARC, Spillover, Stock Market.

References