RETURNS AND VOLATILITY SPILLOVER IN ASIAN FRONTIER AND EMERGING MARKETS IN THE PRESENCE OF COVID-19 STRUCTURAL BREAK

บทคัดย่อ

The global integration of stock markets creates not only opportunities in market accessibility but also challenges in portfolio diversification. Therefore, it is crucial to discover less integrated markets for profit maximizing and risk reducing. In addition, it is also important to note that the existing pattern of global market integration and interrelation has been affected under the situation of Covid-19 pandemic. Hence, the study sets two important objectives as (1) to observe market integrating and exploring diversification opportunities by capturing returns and volatility spillovers among frontier markets (Bangladesh, Sri Lanka, and Vietnam) and emerging markets (China, India, and Thailand) in Asia; and (2) to identify the changes of returns and volatility spillovers among these markets in Covid-19 pandemic period. Time series analysis models, VAR (Vector Autoregressive) and BEKK GARCH (Baba-Engle-Kraft-Korner Generalized Autoregressive Conditional Heteroskedasticity), are employed to exhibit returns and volatility spillover effects. The numbers of data collected in each market are 1435 daily returns in normal period and 177 daily returns in pandemic period. The findings suggest that (1) there are significant return integration among most of frontier and emerging markets in the normal period; (2) the analysis of returns spillover in pandemic period observes no significant return relationship in all markets; (3) most of frontier and emerging markets express significant volatility spillovers in the normal period; (4) some frontier markets temporally halt volatility spillovers from emerging markets during pandemic time; and (5) Thailand is the most interconnected market among observed countries. In addition, the comprehensive analysis proposes long-term investment opportunities in selected frontier markets.