Asia-Pacific Development Journal

Frequency
Semiannual
ISSN: 
2411-9873 (online)
http://dx.doi.org/10.18356/cb961558-en
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The Asia-Pacific Development Journal (APDJ) is published twice a year by the United Nations Economic and Social Commission for Asia and the Pacific. The primary objective of the APDJ is to provide a platform for the exchange of knowledge, experience, ideas, information and data on all aspects of economic and social development issues and concerns facing the region and aims to stimulate policy debate and assist policy formulation. The APDJ provides a scholarly means for bringing together research work by eminent social scientists and development practitioners from the region and beyond for use by a variety of stakeholders. The Journal aims to stimulate policy debate and assist policy formulation in the region.
Article
 

An exploration on volatility across India and some developed emerging equity markets You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/7a066f79-en.pdf
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Author(s):
Paramita Mukherjee
09 Apr 2012
Pages:
25
Bibliographic information
No.:
4,
Volume:
18,
Issue:
2
Pages:
79–103
http://dx.doi.org/10.18356/7a066f79-en

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The opening up of financial markets in India has led to significant transformation within the financial sector, which has become more integrated with international stock markets. The general concern which is emerging with such development is the increased volatility of equity returns. This paper explores the relationship between volatility within not only the Indian equity market but also within other developed and emerging markets as well. Based on a daily data set for more than nine years, this paper estimates a joint Vector Auto Regression/Multivariate Generalized Autoregressive Conditional Heteroskedasticity (VARMGARCH) model. As the existing literature suggests, returns in the United States of America, the Republic of Korea and Hong Kong, China have a definite effect on returns in India. More interesting is the finding that Indian market returns also affect the returns in other markets such as Japan, the Republic of Korea, Singapore and Hong Kong, China. In addition, return volatility of the Indian market does not have an increasing or declining trend, but exhibits sudden sharp increases over the sample period. The conditional correlation of the Indian equity market return with all the other markets has increased over time in recent years.