Volatility Dynamics of Asian Stock Markets: Evidence from the Hang Seng Index and Nikkei 225

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Authors: Mehtab Singh Sidhu
Cited by: 0

Abstract

This paper examines the volatility dynamics of two major Asian equity markets, the Hang Seng Index (HSI) and the Nikkei 225, using daily stock return data. The study applies standard econometric techniques, including unit root tests, ARCH-LM tests, and GARCH(1,1) models, to analyze volatility clustering and persistence. Empirical findings reveal significant conditional heteroskedasticity and high volatility persistence in both markets, with stronger persistence observed in the Hang Seng Index. These results contribute to the empirical literature on Asian financial markets and provide insights relevant for risk management, portfolio allocation, and volatility forecasting.

Fields of Study & Subjects

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stock Market Forecasting Methods

Publication details

Journal / source
Zenodo (CERN European Organization for Nuclear Research)
Publication date
7 January 2026
Language
EN