Return Spillover Effects among Emerging Asian Currencies: Evidence from Countries along the Belt and Road Initiative

Authors

  • Muhammad Asif Ali PhD Scholar, Department of Management Sciences, University of Swabi, Ambar, Swabi, KP
  • Dr. Faisal Khan Department of Management Sciences, University of Swabi, Ambar, Swabi KP, Corresponding author Email: faisalkhanutm@yahoo.com
  • Dr. Muhammad Asif Khan Department of Management Sciences, University of Swabi, Ambar, Swabi KP
  • Dr. Said Shah Department of Management Sciences, University of Swabi, Ambar, Swabi KP

DOI:

https://doi.org/10.70670/sra.v3i4.1123

Abstract

This paper investigates the connectedness and return spillovers among 10 emerging Asian Foreign Exchange (FX) pairs against the US Dollar: USD_TRY, USD_INR, USD_LKR, USD_MYR, USD_IDR, USD_PKR, USD_PHP, USD_CNY and USD_VND. We applied Diebold and Yilmaz (2012) Spillover Index approach based on Variance Decomposition on daily exchange rates of selected currencies. Result shows a moderate and non-trivial level of return spillovers with pronounced peaks during major crises periods. Thai Baht, Indian Rupee and Turkish Lira appeared as major net spillover transmitters, while Vietnamese Dong, Sri Lankan and Pakistani Rupee are found as major net receivers of return spillovers. These findings have significant implications for investors, fund managers and regional policy coordination.    

Downloads

Published

15-10-2025

How to Cite

Muhammad Asif Ali, Dr. Faisal Khan, Dr. Muhammad Asif Khan, & Dr. Said Shah. (2025). Return Spillover Effects among Emerging Asian Currencies: Evidence from Countries along the Belt and Road Initiative. Social Science Review Archives, 3(4), 357–367. https://doi.org/10.70670/sra.v3i4.1123

Issue

Vol. 3 No. 4 (2025): Social Science Review Archives (October-December)

Section

Articles