About the Speaker:

Dr Gamini Premaratne is currently working as an Assistant Professor in Economics at National University of Singapore. In his current position, Professor Gamini teaches courses in Econometrics, financial Economics, capital markets and portfolio management and financial Econometrics.

Assistant Professor Gamini has been with NUS for several years. His primary research areas of interest include Hypothesis Testing, GARCH models, behavioral finance and risk management. Some of his selected publications are in Journal of Financial Econometrics and Journal of Statistical planning and inference. He has also written a book chapter (co-authored with Anil K. Bera) on General Hypothesis Testing in Companion in Econometrics theory.

Before joining NUS, Professor Gamini held teaching assistant and research assistant positions at the University of Illinois at Urbana-Champaign. Prior to that, he has also served as a Statistician in the Department of Census and Statistics, Sri Lanka and Assistant Lecturer in mathematics at University of Ruhuna, Sri Lanka.

Professor Gamini has received his Bachelor of Science degree from University of Colombo, Sri Lanka, and his M.Sc. and his Ph.D. in Econometrics from the University of Illinois at Urbana-Champaign.

Abstract:

We examine the relationship between co-movement, correlation and volatility spillover with a focus on the Asian stock markets in relation to the US. Using multivariate DCC-GARCH model with co-movement component, we find that there is significant volatility co-movement and spillovers between the US market to the Asian markets when there is sustained negative co-movement between the US and Asian equity markets. However, the same effect is not seen when there is consecutive positive co-movement in both the mean and variance specification. This interplay between co-movement, correlation and volatility spillover is important since effective diversification strategies can be employed based on the time-varying dynamics of the conditional covariance. The asymmetric inter¬market response of Asian markets to US volatility co-movement may provide an opportunity for valuable diversification. Our findings confirm that negative market sentiment influences trends of Asian markets more than positive market sentiments from the US. Implication of this study is that adjustments to a portfolio based on return co-movement and volatility spillover can provide insights to some timing strategies that may be able to offset the problem of markets becoming highly correlated in periods of high market volatility.

Reservation:

Admission is free.  Please reply to Christina, e-mail: achristina@ntu.edu.sg or Tel: 6790-5689 to confirm your attendance.