Return and volatility spillovers from major financial markets to the opening return of SET index, during the normal time and the crises.
Post by MSF Chula at Monday, 18 September 2017 04:52 PM

This paper studies the transmission of the return and volatility from the global major financial markets during overnight to the SET index at the opening price. Financial asset returns from the sample major indices are taken into consideration using the GARCH model to examine the mean and volatility spillover effects. The sample period investigated is tested for the normal period and during the three crisis periods including the 2008 global financial crisis, the 2010 Euro sovereign debt crisis and the 2014 Oil price shock. The result reveals the evidence of transmission of mean and volatility across financial assets to the opening return of the SET index. In addition, global markets exhibit some degree of incremental return and volatility spillover effect to the SET index during the three crises, while the US plays the most important role in return spillover exporter. The results contribute to the existing literature in supporting that the flow of information across the markets through returns may not enough be significant and visible, the spillover may be transferred through volatility and also in demonstrating that not only return and volatility spillover from daily return of markets to the other markets but also, by decomposing into overnight and daytime returns, the spillover effect during an overnight are still significant.

Last updated at Monday, 18 September 2017 04:52 PM