Volatility spillovers and linkages in Asian stock markets

• Main Author: CHOW, Hwee Kwan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Asian stock markets; return volatility; volatility spillovers; Asian Studies; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/soe_research/2117; https://ink.library.smu.edu.sg/context/soe_research/article/3117/viewcontent/Volatility_Spillovers_and_Linkages_in_Asian_Stock_Markets.pdf
• Institution: Singapore Management University

Diebold–Yilmaz spillover indexes are computed for weekly return volatilities based on daily benchmark stock indexes of the US, the UK, and 10 Asian countries. We found (i) the strengthening of overall volatility spillovers is not a temporary surge but persisted after the crisis; (ii) the susceptibil...