Structural Breaks and Volatility Spillover in South Asian Economies

SEISENSE Journal of Management

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Title Structural Breaks and Volatility Spillover in South Asian Economies
Creator Iqbal, Hafiz Rauf
Saeed, Syed Kashif
Shah, Syed Zulfiqar Ali
Subject Financial Crisis
Volatility Spillover
Structural Breaks
Exponential Generalized Auto Regressive Heteroskedasticity (EGARCH)
Description Purpose - This study examines the volatility spillovers in the presence of structural breaks with specific reference to South Asian Capital markets. The global financial crisis of 2007-2009 has compelled policymakers to realize that financial instability has the potential to threaten economic stability and growth; therefore, managing the financial crisis is inevitable. To manage the impact of financial crises, understanding the dynamics of volatility spillover across various markets is imperative. This study has investigated the possible emergence of structural breaks in risk patterns after global financial crises in south Asian markets.
Methodology - Using the data from July 2002 to June 2016, employing the Exponential GARCH methodology.
Findings - This study finds a significant volatility spillover after the financial crisis of 2007-09. Therefore, the existence of a structural break in the risk pattern of south Asian capital markets cannot be fully rejected.
Policy Implications - This conclusion is of prime importance to policymakers in devising policy guidelines concerning financial crises.
Date 2020-01-20
Type info:eu-repo/semantics/article
Peer Reviewed Article
Format application/pdf
Source SEISENSE Journal of Management; Vol 3 No 1 (2020): SEISENSE Journal of Management; 64-77
Language eng
Rights Copyright (c) 2020 Hafiz Rauf Iqbal, Syed Kashif Saeed, Syed Zulfiqar Ali Shah

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