Volatility spillovers and linkages in Asian stock markets

Volatility spillovers and linkages in Asian stock markets

Diebold-Yilmaz spilloverindexes are computed for weekly return volatilities based on daily benchmarkstock indexes of US, UK and ten Asian countries. We found (i) the strengthening ofoverall volatility spillovers is not a temporary surge but persisted after thecrisis; (ii) the susceptibility ofindivi...

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Bibliographic Details
Main Author: CHOW-TAN, 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
Online Access:https://ink.library.smu.edu.sg/soe_research/2131
https://ink.library.smu.edu.sg/context/soe_research/article/3131/viewcontent/Volatility_Spillovers_in_Asian_Stock_Markets_chow_2017_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2131
https://ink.library.smu.edu.sg/context/soe_research/article/3131/viewcontent/Volatility_Spillovers_in_Asian_Stock_Markets_chow_2017_.pdf

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