Information Leadership and Volatility Spillover Across the Countries: A Case of Indian and Other Asian Equity Markets

30 Pages Posted: 10 Jan 2006

See all articles by Dr. Kedar Nath Mukherjee

Dr. Kedar Nath Mukherjee

National Institute of Bank Management; National Institute of Bank Management

R. K. Mishra

Institute of Public Enterprise (IPE)

Abstract

Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries over a period from November 1995 to May 2005 is studied. Daily opening and closing prices of all the major equity indices from the sample countries are examined by applying the GARCH model [Engle (1982) and Bollerslev (1986)] to explore the possibility of information leadership and volatility spillover across the national markets. Apart from different degrees of correlations, both in terms of return and squared return series, among Indian stock market with that of other Asian countries, the contemporaneous intraday return spillover among India and almost all the sample countries are found to be positive and significant. Based on the comparison among the spillover effects in both intraday and overnight return of the domestic market, it will be clear that the foreign market return spillover affect the Indian open-to-close return much greater than its close-to-open return. But in case of volatility spillover from the foreign markets to India, most of the new and pertinent information would be revealed in the opening prices of NIFTY and/or SENSEX, thereby having a stronger effect on the close-to-open (overnight) return in Indian equity market.

Keywords: Volatility spillover, Indian equity markets, Asian equity markets, Information leadership, correlation between markets

Suggested Citation

Mukherjee, Dr. Kedar nath Nath and Mukherjee, Dr. Kedar nath Nath and Mishra, R. K., Information Leadership and Volatility Spillover Across the Countries: A Case of Indian and Other Asian Equity Markets. Indian Institute of Capital Markets 9th Capital Markets Conference Paper, Available at SSRN: https://ssrn.com/abstract=874916 or http://dx.doi.org/10.2139/ssrn.874916

Dr. Kedar nath Nath Mukherjee (Contact Author)

National Institute of Bank Management ( email )

NIBM Post Office
Kondhwe Khurd
Pune, Maharashtra 411048
India
020-26833080 (Phone)

HOME PAGE: http://nibmindia.org/faculty-detail.php?q=MTE%3D

National Institute of Bank Management ( email )

Kondhwe Khurd, NIBM P.O.
Pune, WY Maharashtra 411048
India

R. K. Mishra

Institute of Public Enterprise (IPE) ( email )

Shamirpet
Telangana
Hyderabad, Tamil Nadu 500101
India