Volatility Spillover Across Major Equity Markets: A Critical Review of Literature

International Journal of Research in Commerce & Management, Volume 6, Issue 4, April 2015

13 Pages Posted: 1 Dec 2015

See all articles by Pardeep Singh

Pardeep Singh

Department of Commerce

Arnav Kumar

University of Delhi - Delhi School of Economics - Department of Commerce

CA Deepak

University of Delhi - Delhi School of Economics

Date Written: April 1, 2015

Abstract

Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has important implications for various stakeholders. We report that there has been wide variation in results because different studies have examined different markets using wide range of financial econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any volatility spillovers between various sectors of an economy, between different financial markets of the same economy, amongst same sectors of different markets, probe whether size effect is relevant, identify the transmission channels of volatility spillover, enumerate reasons behind volatility spillover, examine asymmetric volatility responses among stock markets and can use more advanced econometric techniques.

Keywords: Volatility, Spillover, Equity Markets, Global Financial Crisis

JEL Classification: F36, F65, G01, G11, G15

Suggested Citation

Singh, Pardeep and Kumar, Arnav and Deepak, CA, Volatility Spillover Across Major Equity Markets: A Critical Review of Literature (April 1, 2015). International Journal of Research in Commerce & Management, Volume 6, Issue 4, April 2015. Available at SSRN: https://ssrn.com/abstract=2697336

Pardeep Singh

Department of Commerce ( email )

Delhi School of Economics
University of Delhi
Delhi, New Delhi 110 007
India

Arnav Kumar (Contact Author)

University of Delhi - Delhi School of Economics - Department of Commerce ( email )

New Delhi, New Delhi 110007
India

CA Deepak

University of Delhi - Delhi School of Economics ( email )

G.T. Road,
Shahdara
Delhi-110007, Delhi 110032
India

Register to save articles to
your library

Register

Paper statistics

Downloads
123
Abstract Views
836
rank
227,450
PlumX Metrics