Return and volatility spillovers between the US, Japanese and Malaysian stock markets

• Main Authors: Lida Nikmanesh, Abu Hassan Shaari Mohd Nor, Tamat Sarmidi, Hawati Janor
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2014
• Online Access: http://journalarticle.ukm.my/8373/1/7770-20204-1-SM.pdf; http://journalarticle.ukm.my/8373/; http://ejournal.ukm.my/pengurusan/index
• Institution: Universiti Kebangsaan Malaysia

The present study investigates the return and volatility spillover between the stock markets of the US, Japan and Malaysia using weekly data concerning the S&P 500, NIKKEI 225 and KLCI composite indices from January 1990 to May 2013. Employing a cross-correlation function method, the results sho...