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  1. Journal of Applied Sciences
  2. Vol 14 (20), 2014
  3. 2622-2627
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Journal of Applied Sciences

Year: 2014 | Volume: 14 | Issue: 20 | Page No.: 2622-2627
DOI: 10.3923/jas.2014.2622.2627

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Authors


Ghulam Mujtaba Kayani

Country: China

Hui Xiaofeng

Country: China

Saqib Gulzar

Country: Pakistan

Keywords


  • US financial market
  • Financial crisis
  • emerging financial market
Research Article

Global Financial Crisis: An EGARCH Approach to Examine the Spillover Effect on Emerging Financial Markets

Ghulam Mujtaba Kayani, Hui Xiaofeng and Saqib Gulzar
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.
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How to cite this article

Ghulam Mujtaba Kayani, Hui Xiaofeng and Saqib Gulzar, 2014. Global Financial Crisis: An EGARCH Approach to Examine the Spillover Effect on Emerging Financial Markets. Journal of Applied Sciences, 14: 2622-2627.

DOI: 10.3923/jas.2014.2622.2627

URL: https://scialert.net/abstract/?doi=jas.2014.2622.2627

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