Dynamic Linkages of Return and Asymmetric Volatility Spillovers Among Asian Emerging Stock Markets: Evidence from Post-Global Financial Crisis Period

The purpose of this study is to investigate the dynamics of return linkages and volatility spillovers between Asian emerging stock markets. The findings revealed that the own lagged volatility spillovers are statistically significant in all cases. Our findings also show that the asymmetric volatility spillovers are significant in all sampled stock markets except China. We find unidirectional volatility spillovers from the markets of China towards Malaysia, South Korea and Japan, from Hong Kong towards South Korea, from Pakistan towards Japan and South Korea. Moreover, the volatility spillovers of most of the stock markets are significant and bidirectional. Therefore, these markets are interrelated, and the spillover effect should be taken into consideration by policymakers, fund managers and investors.