Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern?

Amarnath Mitra and Vishwanathan Iyer

IIM Kozhikode Society & Management Review, 2017, vol. 6, issue 1, 42-54

Abstract: The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a period of 20 years, which includes both crisis (i.e., contagion form) and non-crisis periods. It also investigates whether the global transmission of volatility follows a pattern. The study contributes to the literature in two ways: (a) it provides a historical map of volatility transmission in the Asia-Pacific region and (b) it identifies the path and pattern of volatility spillover across stock markets in the Asia-Pacific region.

Keywords: Volatility; spillover; financial contagion; bivariate EGARCH; volatility pattern. (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:sae:iimkoz:v:6:y:2017:i:1:p:42-54

DOI: 10.1177/2277975216676118

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