Linkage between US Financial Uncertainty and Stock Markets of SAARC Countries

• 발행기관: 한국유통과학회
• 저자명: Tariq AZIZ Jahanzeb MARWAT Sheraz MUSTAFA Asma ZEESHAN Yasir IQBAL
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.2, 747~757쪽, 전체 11쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.02.28

영문 초록

The primary purpose of the study is to investigate the volatility spillover from financial uncertainty (FU) of the United States (US) to the stock markets of SAARC member countries including India, Sri-Lanka, Pakistan, and Bangladesh. The empirical literature overlooked SAARC countries and the FU index. Based on the estimation method, the data of FU is available for three different forecast horizons including 1-month, 3-months, and 12-months. For empirical analysis, monthly data is used from February 2013 to September 2019. EGARCH model is employed to investigate the volatility spillover effects. The findings of the study show that the spillover effect of FU varies with the forecast horizon. The FU with a higher forecast horizon has a significant spillover effect on more countries. The spillover effect of US financial uncertainty is negative in most of the SAARC countries. Bangladesh stock market is influenced by FU with all three forecast horizons whereas the volatility of the Pakistan stock market is not influenced by FU with any forecast horizon. The findings are consistent with the concept of “limited trade openness” in the financial markets of emerging economies. The emerging economies avoid financial market openness to minimize the risk of spillover of other countries.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Results and Discussion

5. Conclusion

키워드

Financial Uncertainty SAARC EGARCH Stock Returns Spillover