Abstract

The prime objective of this study is to analysis the global financial crisis on the stock returns of USA, India, China and Japan with the help of E-GARCH model. After applied the granger causality we have found the volatility spillover among different stock indices. For this purpose we have taken the daily stock prices from 7th of feb, 2007 to 23nd may 2012.our main finding is as fellow. First, in the circumstances of financial crisis all the stock markets are high volatility and due to financial crisis setback of the daily return exist. Our study is proving that Chinese stock exchange is less affected in the condition of financial crisis as compare to other countries, whereas it has great influenced on the USA stock exchange. In major Asian stock exchange the volatility of stock returns are at moderate level while in the USA it has been remained. Secordaly, we have applied the Granger causality test that shows that after the financial crisis has impacted on the USA stock exchange is bidirectional and it did not receive any volatility spillover from other major Asian countries. Indian stock exchange experiences the volatility spillover from all the stock exchange, while, Japanese experiences volatility spillover from USA stock exchange .on the other side the china stock exchange do not experience of volatility spillover from any stock exchange.

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