Title: The equity market returns and volatility spillover from the US and Japanese markets to Asian frontier markets

Authors: Thi Ngan Nguyen; Thi Kieu Hoa Phan; Nirav Parikh

Addresses: University of Economics and Law, Vietnam National University, Ho Chi Minh City, Vietnam ' University of Economics and Law, Vietnam National University, Ho Chi Minh City, Vietnam ' School of Economics, Finance and Marketing, RMIT University, Australia

Abstract: This paper examines the magnitude of return and volatility spillovers from the USA and Japan to Asian frontier equity markets (Sri Lanka and Vietnam). The US and Japan shocks are exogenous variables in ARMA-GARCH-M model. The study indicates that the day effect occurs in Sri Lanka at pre and post-crisis (2008). Secondly, the return contagion from Japan impacts Vietnam pre, in and post-crisis. This contagion from the USA influences Vietnam in crisis and post-crisis with higher magnitudes, compared to Japan. Thirdly, the return spillover from the USA impacts Sri Lanka before and during the crisis, while this spillover from Japan to Sri Lanka occurs after the crisis. Finally, the volatility spillover from the USA and Japan does not impact the Vietnamese market during the three periods. The volatility contagion from Japan influences Sri Lanka in the crisis, no volatility spillover from the USA to Sri Lanka through three periods.

Keywords: return spillover; volatility spillovers; frontier markets; contagion effects; ARMA-GARCH-M.

DOI: 10.1504/AAJFA.2022.125062

Afro-Asian Journal of Finance and Accounting, 2022 Vol.12 No.4, pp.491 - 508

Received: 08 Jan 2019
Accepted: 03 Jun 2019
Published online: 25 Aug 2022 *

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