Código QR (código de barras bidimensional)

Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis

Purpose – The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong) and tw...

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Principais autores: Aswini Kumar Mishra, Saksham Agrawal, Jash Ashish Patwa
Formato: Artigo
Idioma:Inglês
Publicado em: Emerald Publishing 2022-12-01
coleção:Journal of Economics Finance and Administrative Science
Assuntos:
Equity markets
Return spillover
Volatility spillover
GARCH-BEKK model
Business cycle
Investor behaviour
Acesso em linha:https://www.emerald.com/insight/content/doi/10.1108/JEFAS-06-2021-0082/full/pdf
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