Financial Crisis and Volatility Behaviour Of Stock Markets of Asia

Abstract

he study examines the impact of Global Financial Crisis of 2007 onwards on volatility behavior of Asian stock markets using GAR CH and TARCH models. The study uses daily closing price data of stock markets of India, China, Hong Kong, Malaysia, Japan, Indonesia and Korea. The results reveal that the Asian stock markets exhibit the persistence of volatility, mean reverting behavior and volatility clustering. The results of GARCH( I, I) and TAR CH with dummy variable in variance equation suggest that the recent financial crisis has increased volatility and leverage effect in the Asian stock markets except Korea which seems to be insulated from the crisis.