Volatility spillover effects amongsix Asian countries

Sang Jin Lee

64 citations0/0 files storedApplied Economics Letters

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

This article examines the volatility spillover effects among six Asian country stock markets using bivariate vector autoregression-generalized autoregressive conditional heteroskedasticity [VAR(p)-GARCH(1,1)] model. The six Asian countries are India, Hong Kong, South Korea, Japan, Singapore and Taiwan. This study found that there are statistically significant volatility spillover effects within the stock markets of these countries.

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1995Multivariate Simultaneous Generalized ARCH 1988A Capital Asset Pricing Model with Time-Varying Covariances 2009Price and volatility spillovers across North American, European and Asian stock markets 2002Asian Economic Integration and Stock Market Comovement 2001Asian Economic Integration and Stock Market Comovement 1997Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets

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