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International Transmission of Volatility

Name: International Transmission of Volatility
Brand: LAP Lambert Academic Publishing
SKU: 14211217
Price: 31.93 EUR
Availability: InStock
Author: Haider Zaman Khan
ISBN: 9783659936661

From Mature Markets to Developing Markets

Haider Zaman Khan

Language

English

Book Paperback

Libristo code: 14211217

Publishers LAP Lambert Academic Publishing, November 2015

The study tries to examine the mature market's (DAX, LSE, NIKKEI, NYSE, SSE) volatility transmission... Full description

Libristo code: 14211217

78 b

31.93 €

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The study tries to examine the mature market's (DAX, LSE, NIKKEI, NYSE, SSE) volatility transmission to developing market(s) (KSE). A ten year's (2005-2015) daily, weekly and monthly index returns of these markets are investigated under this study on which three econometric tests i.e. ADF (unit root), Chow and GARCH model are run to explore and analyze the stationarity, structural breaks and volatility effect from mature markets to volatile market(s) respectively. Results were found to be significant for all the observations, hence showing a transfer of volatility from all the mature markets under study i.e. DAX, LSE, NIKKEI, NYSE and SEE, to the volatile market which in this case is KSE. All the tests are run in econometric software EViews where GARCH model is used as the basic tool for analysis with support of ADF (unit root) and Chow test.