Stock Market Volatility between Selected Emerging and Developed Economies Using ARCH and GARCH Model

The study explores the symmetry and asymmetry lies between selected emerging economies such as National Stock Exchange (NSE, India), Shanghai Stock Exchange (SSE, China), Stock Exchange of Hong Kong (SEHK, China) and developed economies such as New York Stock Exchange (NYSE, USA), and Euronext (Europe) using ARCH and GARCH model. The time series data of the daily adjusted closing prices from 1st April 2011 to 31st March 2021 have been collected for all five markets. By applying the model, empirical findings shows that the emerging market are more persistent toward the volatility as compared to developed economies whereas the responsiveness towards the crisis are high among the developed economies. The implications of the study are significant for various stakeholders in finance, economics and policy making. The study helpful for investors and portfolio manager for asset allocation, diversification and risk management. The results also helpful for policymakers in improving the regulation and to reduce the susceptibility of market shocks. The study contributes to existing literature by showing the connexion of the emerging and developed markets. The study recommends that investor should be aware about the market micro structure of different economies and crossover impact.