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首页> 外文期刊>International Journal of Economics and Finance >Return and Volatility Linkages among G-7 and Selected Emerging Markets
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Return and Volatility Linkages among G-7 and Selected Emerging Markets

机译：G-7之间的返回和波动率联动和选定的新兴市场

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摘要

In this research, using twelve year daily data on sixteen market indicies, we examine the return and volatility linkages among developed and selected emerging stock markets. All markets exhibit excess kurtosis and ARCH effect in addition to non-normality. Our results show the existence of non-normality, excess kurtosis and excess volatility (ARCH effect) in all markets. There is also a positive pair-wise correlation among these markets. Interesting observation is that the daily volatility of Indonesia, among all markets including G-7 markets, is observed to be the smallest and there is negative correlation between Hong Kong and China Markets during the sample period. We find that these markets are highly linked except for Italy. Further to our analysis, we observe that except for China, all these markets also exhibit leverage effects. We also observe the asymmetry in volatility in all markets, except for China. Volatility transmission among equity markets in the same continent have the most influence for the stock markets in that area, except for UK market that has links to the USA stock markets. Results also indicate portfolio mix for investors of any country is different from another country.
机译：在这项研究中，在十六次市场上使用了12年的日常数据，我们研究了发达的新兴股票市场之间的回报和波动联系。除了非正常性之外，所有市场还表现出过量的峰氏症和拱效。我们的结果表明，所有市场中都存在非正常性，过度的峰度和过度波动性（拱效）。这些市场中也存在积极的一对相关性。有趣的观察是，印度尼西亚的每日波动性在包括G-7市场的所有市场中，都被认为是最小的，在样本期间，香港和中国市场之间存在负相关。除了意大利外，我们发现这些市场具有高度联系。继我们的分析，我们观察到除中国外，所有这些市场还表现出杠杆效应。除了中国之外，我们还观察到所有市场波动中的不对称性。除英国市场有与美国股市有联系之外，同一大陆的股票市场之间的波动性传播最大影响了该地区的股票市场。结果还表明，任何国家的投资者与另一个国家不同的投资组合。

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