http://dx.doi.org/10.31703/gmsr.2024(IX-II).10
10.31703/gmsr.2024(IX-II).10
Published : Jun 2024
Transnational Turbulence: Volatility Spillover from the U.S. Political Uncertainties to the Emerging Economies of South Asia
The study explores the dynamics of volatility spillover from U.S. political uncertainties to the emerging economies of South Asia by using the Markov-Switching and a DCC-GARCH model. By using the daily data from 2000 to 2024, the study has found that the U.S. political risk has significantly affected the majority of the South Asian stock markets during the first regime. On the other hand, it has affected the stock markets of Bangladesh and Maldives during the second regime. Moreover, the transition probabilities also show a higher likelihood of remaining in the second regime of high volatility along with longer expected durations. Then, the DCC-GARCH model confirms the dependence of these markets' returns on their lagged squared residuals. Overall, the volatility spillover from the U.S. political uncertainties exists in the short run to Indian, Bangladeshi, and Maldivian stock markets, while this spillover exists in the long run for all the stock markets.
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Volatility Spillover, Markov-Switching, DCC-GARCH, Political Uncertainties, South Asia
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(1) Hina Mushtaq
PhD Scholar, Lyallpur Business School, Government College University, Faisalabad, Punjab, Pakistan.
(2) Abdul Qayyum
Assistant Professor, Department of Commerce, University of Mianwali, Punjab, Pakistan.
(3) Muhammad Ishtiaq
Associate Professor, Lyallpur Business School, Government College University, Faisalabad, Punjab, Pakistan.
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Cite this article
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APA : Mushtaq, H., Qayyum, A., & Ishtiaq, M. (2024). Transnational Turbulence: Volatility Spillover from the U.S. Political Uncertainties to the Emerging Economies of South Asia. Global Management Sciences Review, IX(II), 99-111. https://doi.org/10.31703/gmsr.2024(IX-II).10
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CHICAGO : Mushtaq, Hina, Abdul Qayyum, and Muhammad Ishtiaq. 2024. "Transnational Turbulence: Volatility Spillover from the U.S. Political Uncertainties to the Emerging Economies of South Asia." Global Management Sciences Review, IX (II): 99-111 doi: 10.31703/gmsr.2024(IX-II).10
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HARVARD : MUSHTAQ, H., QAYYUM, A. & ISHTIAQ, M. 2024. Transnational Turbulence: Volatility Spillover from the U.S. Political Uncertainties to the Emerging Economies of South Asia. Global Management Sciences Review, IX, 99-111.
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MHRA : Mushtaq, Hina, Abdul Qayyum, and Muhammad Ishtiaq. 2024. "Transnational Turbulence: Volatility Spillover from the U.S. Political Uncertainties to the Emerging Economies of South Asia." Global Management Sciences Review, IX: 99-111
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MLA : Mushtaq, Hina, Abdul Qayyum, and Muhammad Ishtiaq. "Transnational Turbulence: Volatility Spillover from the U.S. Political Uncertainties to the Emerging Economies of South Asia." Global Management Sciences Review, IX.II (2024): 99-111 Print.
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OXFORD : Mushtaq, Hina, Qayyum, Abdul, and Ishtiaq, Muhammad (2024), "Transnational Turbulence: Volatility Spillover from the U.S. Political Uncertainties to the Emerging Economies of South Asia", Global Management Sciences Review, IX (II), 99-111
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TURABIAN : Mushtaq, Hina, Abdul Qayyum, and Muhammad Ishtiaq. "Transnational Turbulence: Volatility Spillover from the U.S. Political Uncertainties to the Emerging Economies of South Asia." Global Management Sciences Review IX, no. II (2024): 99-111. https://doi.org/10.31703/gmsr.2024(IX-II).10