Author(s)

Sanjay Sehgal¹, Kumar Bijoy^2*, Sakshi Saini¹

¹Department of Financial Studies, University of Delhi, Delhi, India.
²Shaheed Sukhdev College of Business Studies, University of Delhi, Delhi, India.

This study tries to find the dynamic stock market linkages among 12 Asian countries over the period January 3, 2000 to June 20, 2017. We employ ADCC-GARCH model to study the conditional correlations and Diebold and Yilmaz (2012) spillover index methodology to investigate return and volatility spillovers across the sample markets [1]. Based on ADCC results, we find that Singapore exhibits highest conditional correlation with other sample markets. Dynamic conditional correlations across the markets amplify during the crisis periods, pointing to financial contagion. The findings under Diebold-Yilmaz framework corroborate with the ADCC-GARCH model results as Singapore is found to be the dominant market based on both return and volatility spillovers. Inter-temporal pattern of spillovers reveals that cross-market linkages intensify during the turmoil periods. Our results have important implications for international investors and policymakers. The study contributes to financial integration literature for Asian markets.

Asian Stock Markets, ADCC-GARCH, Chinese Meltdown, Diebold-Yilmaz, Return Spillover, Volatility Spillover

Sehgal, S. , Bijoy, K. and Saini, S. (2019) Stock Market Linkages and Spillover Effects: An Empirical Analysis of Select Asian Markets. Theoretical Economics Letters, 9, 1447-1472. doi: 10.4236/tel.2019.95093.