Footnote:
In: SEISENSE JOURNAL OF MANAGEMENT, VOL. 3 NO. 1 (2020). https://doi.org/10.33215/sjom.v3i1.260
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 23, 2019 erstellt
Description:
This study examines the relationship between volatility spillovers in the presence of structural breaks with specific reference to South Asian Capital markets. Global financial crisis of 2007-2009 has compelled policy makers to realize that financial instability has potential to threaten economic stability and growth; therefore, managing financial crisis is inevitable. To manage the impact of financial crises, understanding the dynamics of volatility spillover across various markets is imperative. This study has investigated the possible emergence of structural breaks in risk pattern subsequent to global financial crises in south Asian markets. Using the data from July 2002 to June 2016, employing Exponential GARCH methodology, this study finds the significant volatility spillover subsequent to financial crisis of 2007-09. Therefore, the existence of structural break in risk pattern of south Asian capital markets cannot be fully rejected. This conclusion is of prime importance to policy maker in devising policy guidelines with respect to financial crises