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Bad and good asymmetric volatility spillover connectedness between the exchange rate and stock market of major Asian countries


Citation

Zalani, Mohammad Fikri and Ruza, Nadiah and Hussain, Saiful Izzuan (2026) Bad and good asymmetric volatility spillover connectedness between the exchange rate and stock market of major Asian countries. International Journal of Economics and Management, 20 (1). pp. 85-96. ISSN 1823-836X

Abstract

The aim of this study is to investigate the relationship between the spillover of exchange rate volatility and the Asian stock market, focusing on China, Japan, South Korea and India after the 1997-1998 currency crisis. Weekly returns (20 years) from 1999 to 2018 were used for this analysis. The EGARCH model is used to identify the asymmetric links between the two financial markets. The analysis showed that any change in the stock market has a major impact on the currency market. However, some shifts in the currency market have a smaller impact on the stock market. Exchange rate volatility tends to be higher when negative (bad news) innovation is compared to positive (good news) innovation for all but China. Such analysis is crucial for investors in developing a good investment portfolio and assessing risk in a safe and effective way.


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Additional Metadata

Item Type: Article
Subject: Business and International Management
Subject: Economics, Econometrics and Finance (all)
Subject: Strategy and Management
Divisions: School of Business and Economics
DOI Number: https://doi.org/10.47836/ijeam.20.1.07
Publisher: Universiti Putra Malaysia
Keywords: investment portfolio; Multivariate EGARCH; volatility spillover
Sustainable Development Goals (SDGs): SDG 8: Decent Work and Economic Growth, SDG 10: Reduced Inequalities, SDG 17: Partnerships for the Goals
Depositing User: Ms. Siti Radziah Mohamed@mahmod
Date Deposited: 15 Jul 2026 22:24
Last Modified: 15 Jul 2026 22:24
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.47836/ijeam.20.1.07
URI: http://psasir.upm.edu.my/id/eprint/126507
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