Volatility Spillover between Stock and Bond Returns: Evidence from ASEAN-5 Countries

Yurastika, Feny and Wibowo, Buddi (2021) Volatility Spillover between Stock and Bond Returns: Evidence from ASEAN-5 Countries. In: ICOSMI 2020, 14-16 September 2020, Bogor, West Java, Indonesia.

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Abstract

This study investigated the volatility spillover between stock and government bond returns in ASEAN-5 countries, namely Indonesia, Malaysia, Philippine, Singapore, and Thailand using stock and government bond daily return data between 3 January 2006 and 28 February 2020. Estimation using BEKK-GARCH (1,1,1) found that volatility spillover in ASEAN-5 countries are varied. There is no spillover volatility indication in Singapore and Malaysia. Meanwhile, unidirectional volatility spillover from the stock market to the government bond market was founded in Philippine and Thailand. Bi-directional volatility spillover, from the stock market to the bond market and from the bond market to the stock market occurred in Indonesia. The various result of ASEAN-5 countries presumably caused by the different levels of financial and institutional depth among the countries. Countries with deep financial markets could absorb the shocks that occur so that it not spilled and affecting other markets.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: volatility spillover stock and bond returns bekk-garch
Subjects: H Social Sciences > H Social Sciences (General)
Depositing User: EAI Editor IV
Date Deposited: 26 Jul 2021 14:53
Last Modified: 26 Jul 2021 14:53
URI: https://eprints.eudl.eu/id/eprint/5113

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