GARCH and TGARCH Approach to Information Linkages

Authors

  •   Swati Khanna Research Scholar, University School of Management Studies, Block D, Guru Gobind Singh Indraprastha University, Sector -16 C, Dwarka, New Delhi - 110 078
  •   Ashish Kumar Assistant Professor, University School of Management Studies, Block D, Guru Gobind Singh Indraprastha University, Sector -16 C, Dwarka, New Delhi - 110 078

DOI:

https://doi.org/10.17010/ijf/2020/v14i8-9/154947

Keywords:

volatility

, volatility spillover, unit root test, GARCH, TGARCH

JEL Classification

, C58, C49, F65, F63

Paper Submission Date

, October 10, 2019, Paper sent back for Revision, April 24, 2020, Paper Acceptance Date, June 25, 2020

Abstract

In this study, we examined the flow of information and knowledge between the stock market of the United States (US) and emerging Asian stock markets for a period from January 2000 – December 2017. The sample included four emerging markets of India, Indonesia, Philippines, South Korea, and one developed market of the US. Our study identified the structural breaks for all the markets and then explored the asymmetric volatility spillover between the US and all Asian markets by using an extended TGARCH model. The findings of the study reflected that shocks and information transmission from the US stock market were significant from 2007 – 2010, which was the period of the global sub-prime financial crisis, which confirms the notion that during the financial crisis, the degree of dependence between the stock markets increased. Besides this, volatility persistence was also observed from the stock market of the US to all the sample stock markets for all structural break periods, and this persistency was highest from 2015 – 2017. Further, the extent and durability of the reactions to volatility coming from the US stock market were not uniform across all Asian stock markets. The integration of emerging markets of Asia with the developed market of the US has important implications for regulators and investors.

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Published

2020-09-01

How to Cite

Khanna, S., & Kumar, A. (2020). GARCH and TGARCH Approach to Information Linkages. Indian Journal of Finance, 14(8-9), 35–51. https://doi.org/10.17010/ijf/2020/v14i8-9/154947

Issue

Volume 14, Issue 8-9, August-September 2020

Section

Articles
Crossref
Scopus
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Europe PMC

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