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Table 4 Volatility spillover between stock and foreign exchange market

From: Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Volatility spillover from foreign exchange market to stock market

 

α0

α1

α2

β0

β2

ф

β1

δ

arch

Pakistan

0.1308*

(0.0118)

0.0904*

(0.0166)

−0.0314**

(0.0316)

−0.2466*

(0.0106)

0.3771*

(0.0174)

−0.0735*

(0.0107)

0.9037*

(0.0057)

0.0852*

(0.0101)

1.1356

0.28

China

0.0274

(0.0176)

0.0036

(0.0152)

−0.2383

(0.2098)

−0.0794*

(0.0040)

0.1240*

(0.0058)

−0.0214*

(0.0039)

0.9840*

(0.0018)

−0.2346*

(0.0567)

0.3215

0.57

India

0.0432**

(0.0176)

0.09568*

(0.0166)

−0.0349

(0.0417)

−0.1591*

(0.0081)

0.2345*

(0.0111)

−0.0949*

(0.0081)

0.9650*

(0.0032)

0.0232

(0.0188)

0.0404

0.84

Japan

0.0036

(0.0184)

0.0040

(0.0181)

0.0566

(0.0331)

−0.1321*

(0.0096)

0.1964*

(0.0123)

−0.0745*

(0.0064)

0.9640*

(0.0042)

−0.0217

(0.0135)

0.6187

0.43

Hong Kong

0.0187

(0.0178)

0.0447*

(0.0173)

0.6565**

(0.0352)

−0.0878*

(0.0074)

0.1227*

(0.0098)

−0.0558*

(0.0058)

0.9876*

(0.0018)

−0.7025*

(0.2054)

1.0999

0.26

Sri Lanka

0.0395*

(0.0101)

0.2734*

(0.0145)

0.0328**

(0.0156)

−0.3666*

(0.0076)

0.4611*

(0.0109)

−0.0224*

(0.0086)

0.9184*

(0.0032)

0.1280*

(0.0244)

0.8359

0.20

Volatility spillover from stock market to foreign exchange market

 

α0

α1

α2

λ0

λ 2

φ

λ 1

ψ

arch

Pakistan

−0.0006*

(0.0019)

−0.3272*

(0.0162)

0.0254*

(0.0010)

−0.2573*

(0.0028)

0.3718*

(0.0044)

−0.0140**

(0.0068)

0.9802*

(0.0010)

0.03726*

(0.0021)

0.0446

0.83

China

−0.0033*

(0.0005)

−0.1727*

(0.0120)

0.0018*

(0.0002

−0.0776*

(0.0014)

0.0399*

(0.0012)

−0.0390*

(0.0022)

0.9884*

(0.0002)

−0.0959*

(0.0018)

0.4853

0.48

India

−0.0015*

(0.0028)

−0.0479**

(0.0148)

−0.0232*

(0.0007)

−0.1103*

(0.0042)

0.1351*

(0.0050)

0.0064**

(0.0029)

0.9930*

(0.0005)

−0.0189*

(0.0024)

1.0277

0.31

Japan

0.0030

(0.0081)

0.07207*

(0.0157)

0.0864

(0.0059)

−0.1097*

(0.0105)

0.1048*

(0.0099)

−0.0305*

(0.0057)

0.9731*

(0.0037)

−0.0056

(0.0033)

0.7871

0.37

Hong Kong

0.0003**

(0.0001)

0.0581*

(0.0125)

0.00002

(0.00009)

−0.1507*

(0.0030)

0.2401*

(0.0040)

−0.0683*

(0.0035)

0.9996*

(0.0004)

−0.0272*

(0.0025)

1.7438

0.18

Sri Lanka

−0.0086**

(0.0042)

−0.2001*

(0.0105)

−0.0549*

(0.0010)

−0.0694*

(0.0007)

0.1278*

(0.0017)

−0.0606*

(0.0023)

0.9957*

(0.0005)

−0.0305*

(0.0017)

1.0304

0.31

  1. * and ** indicates p < 1 % and 5 %
  2. For coefficients go to equation 1 to 4
  3. Figures in parenthesis are standard errors
  4. Arch is the arch test on residuals of each model
  5. The figures below the coefficients of arch test are probabilities
  6. δ represents volatility spillover from foreign exchange market to stock market
  7. ψ represents volatility spillover from stock market to foreign exchange market