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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Main Author: CHOW-TAN, Hwee Kwan
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Language:English
Published: Institutional Knowledge at Singapore Management University 2017
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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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spelling sg-smu-ink.soe_research-31312018-01-11T06:31:33Z Volatility spillovers and linkages in Asian stock markets CHOW-TAN, Hwee Kwan 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 ofindividual Asian stock markets to inward volatility transfers is linked to itsdegree of openness; and (iii) the Asian bourses are becoming more importantemitters of financial shocks since the crisis. Rolling regressions on volatilitylinkages reveal the relative dominance of the US over the Japanese and Chinesebourses, and the level of influence on Asian stock markets from the Chinesebourse has risen to that of Japan.. 2017-11-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2131 info:doi/10.1080/1540496X.2017.1314960 https://ink.library.smu.edu.sg/context/soe_research/article/3131/viewcontent/Volatility_Spillovers_in_Asian_Stock_Markets_chow_2017_.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Asian stock markets Return volatility Volatility spillovers Asian Studies Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Asian stock markets
Return volatility
Volatility spillovers
Asian Studies
Econometrics
spellingShingle Asian stock markets
Return volatility
Volatility spillovers
Asian Studies
Econometrics
CHOW-TAN, Hwee Kwan
Volatility spillovers and linkages in Asian stock markets
description 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 ofindividual Asian stock markets to inward volatility transfers is linked to itsdegree of openness; and (iii) the Asian bourses are becoming more importantemitters of financial shocks since the crisis. Rolling regressions on volatilitylinkages reveal the relative dominance of the US over the Japanese and Chinesebourses, and the level of influence on Asian stock markets from the Chinesebourse has risen to that of Japan..
format text
author CHOW-TAN, Hwee Kwan
author_facet CHOW-TAN, Hwee Kwan
author_sort CHOW-TAN, Hwee Kwan
title Volatility spillovers and linkages in Asian stock markets
title_short Volatility spillovers and linkages in Asian stock markets
title_full Volatility spillovers and linkages in Asian stock markets
title_fullStr Volatility spillovers and linkages in Asian stock markets
title_full_unstemmed Volatility spillovers and linkages in Asian stock markets
title_sort volatility spillovers and linkages in asian stock markets
publisher Institutional Knowledge at Singapore Management University
publishDate 2017
url 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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