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Spillovers of stock return volatility to Asian equity markets from Japan and the US · Study

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ArticleSpillovers of stock return volatility to Asian equity markets from Japan and the US

Tatsuyoshi Miyakoshi2003

Article2003

Spillovers of stock return volatility to Asian equity markets from Japan and the US

Tatsuyoshi Miyakoshi

195 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1988A Capital Asset Pricing Model with Time-Varying Covariances 1997Emerging equity market volatility 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements 1995The World Price of Foreign Exchange Risk 2000Volatility spillover effects from Japan and the US to the Pacific–Basin 1998How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1

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Year2003

Typearticle

Published2003-05-19

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations195

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1042-4431(03)00015-5

openalex_workW2117330494

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