Return and volatility interdependences in up and down markets across developed and emerging countries
Article Type
Research Article
Publication Title
Research in International Business and Finance
Abstract
In this paper, we have used daily stock returns data from two developed and four emerging countries to analyse the behaviour of returns and volatility spillovers in two different stock market conditions called the up and down markets. To this end, we have proposed a VAR-TGARCH-M type model and incorporated the smooth transition behaviour to switch from one market condition to another. The results show that, in general, there is significant and asymmetric effect of returns and volatility of one market on another in up and down market conditions, but the sign of the effect varies over pairs of countries concerned and also of market conditions.
First Page
297
Last Page
311
DOI
10.1016/j.ribaf.2015.09.023
Publication Date
1-1-2016
Recommended Citation
Kundu, Srikanta and Sarkar, Nityananda, "Return and volatility interdependences in up and down markets across developed and emerging countries" (2016). Journal Articles. 4413.
https://digitalcommons.isical.ac.in/journal-articles/4413