Measuring the Return and Volatility Spillovers between Canada, Japan and Emerging Stock Markets

The study aims to investigate the impact of the stock market volatility spillover effect from major developed countries to emerging countries from the period 2014 to 2022 by using the GRACH model. For instance, Canada and Japan are the major contributors to G7 countries and whereas, India, Russia, Brazil, China and Turkey are the emerging countries in Asian and African subcontinents. It has been established that the stock market movement of Canada and Japan has substantially affected the stock markets of major emerging countries. However, Japan has major financial ties with all of the emerging countries except Russia. It is an astonishing fact that the insignificant coefficients of Japan and Canada with Russia indicate that the dynamics of Russian countries are a bit different than the rest of the world. The Russian economy is communist and generally perceived as a closed economy and the said does not have any major trade ties with the rest of the world.