Volatility spillovers and linkages in Asian stock markets

• 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
• Institution: Singapore Management University

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...