Mujtaba, Ghulam ORCID: https://orcid.org/0000-0002-7317-4357, Xiaofeng, Hui and Gulzar, Saqib (2014) Global Financial Crisis: An EGARCH Approach to Examine the Spillover Effect on Emerging Financial Markets. Journal of Applied Sciences, 14 (20). pp. 2622-2627.

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Abstract

This study examines the spillover effect of US stock returns on emerging markets stock returns (China, India and Pakistan) and the effect of volatility in US stock on the emerging stock market particularly during the period of global financial crisis. For the analysis, we have used the daily stock returns of these markets from the period of 1st January 2007 to 30th September 2011. We have divided our analysis into three parts (before, during and after) financial crisis. The econometric technique such as EGARCH model is applied for examination. The results show a weak spillover effect on BSE whereas mean spillover for SSE is insignificant but it shows a volatility spillover from US financial market to China’s financial market. In case of KSE returns we find a spillover effect from the US stock returns to KSE stock returns.

Item Type:	Article
Status:	Published
DOI:	10.3923/jas.2014.2622.2627
School/Department:	London Campus
URI:	https://ray.yorksj.ac.uk/id/eprint/10054

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