Return and Volatility Spillovers of Asian Pacific Stock Markets’ Energy Indices


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Authors

  • Manivannan Babu Bharathidasan School of Management, Bharathidasan University, India,
  • C. Hariharan Nehru Institute of Technology, Coimbatore, Tamil Nadu, India
  • S. Srinivasan Sri Ramachandra Institute of Higher Education and Research, India,
  • P. S. Shabi Shimny Gulf Centre for University Education (IGNOU), India,
  • Gayathri Jayapal Department of Commerce and Financial Studies, Bharathidasan University, India,
  • G. Indhumathi Mother Teresa Women’s University, India,
  • J. Sathya Sri Sarada College for Women, India,
  • Brintha Rajendran Bharathidasan School of Management, India,
  • Veeramani Anandhabalaji Bharathidasan School of Management, Bharathidasan University, India,
  • Chinnadurai Kathiravan VIT Business School, VIT University, India.

DOI:

https://doi.org/10.32479/ijeep.13492

Abstract

The aim of the study was to investigate the presence of volatility among the Energy Indices of Asia Pacific Stock Markets. To test the volatility among the daily returns of Energy Indices of Asia Pacific Stock Markets, the study selected five sample Asian Pacific stock markets’ Energy Indices on the basis of availability of data. The findings of descriptive statistics and the ADF Test revealed, that the daily returns of the sample energy indices of Asian Pacific stock markets were not normally distributed and achieved stationarity at level difference, over the research period. Hence the data may be used for additional analysis. The data were then analysed, by using the GARCH (1,1) model to assess the considerable volatility of daily returns of sample energy indices and the study, which revealed that during the study period, all of the sample energy indices were volatile.

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Published

2023-01-22

How to Cite

Babu, M., Hariharan, C., Srinivasan, S., Shimny, P. S. S., Jayapal, G., Indhumathi, G., Sathya, J., Rajendran, B., Anandhabalaji , V., & Kathiravan, C. (2023). Return and Volatility Spillovers of Asian Pacific Stock Markets’ Energy Indices. International Journal of Energy Economics and Policy, 13(1), 61–66. https://doi.org/10.32479/ijeep.13492

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