International Transmission of Volatility

The study tries to examine the mature market’s (DAX LSE NIKKEI NYSE SSE) volatility transmission to developing market(s) (KSE). A ten year’s (2005-2015) daily weekly and monthly index returns of these markets are investigated under this study on which three econometric tests i.e. ADF (unit root) Chow and GARCH model are run to explore and analyze the stationarity structural breaks and volatility effect from mature markets to volatile market(s) respectively. Results were found to be significant for all the observations hence showing a transfer of volatility from all the mature markets under study i.e. DAX LSE NIKKEI NYSE and SEE to the volatile market which in this case is KSE. All the tests are run in econometric software EViews where GARCH model is used as the basic tool for analysis with support of ADF (unit root) and Chow test.