An Empirical Study of Volatility in Seven Southeast Asian Stock Markets Using ARV Models

Mike K.P. So, K. Lam and W.K. Li

Journal of Business Finance & Accounting, 1997, vol. 24, issue 2, 261-276

Abstract: This paper investigates the volatility persistence, volatility variability from day to day and transmission of volatility in seven Southeast Asian stock markets from 1980 to 1991 using the ARV approach. We found strong evidence that shocks to volatility are persistent in Taiwan. Moreover, the Stock Exchange of Thailand Daily Index has the strongest interday volatility fluctuation. Instantaneous causality of volatility among six of the seven markets (except Seoul) was discovered. Besides, there is significant volatility spillover effect from Hong Kong to Taiwan, Malaysia to Singapore and Singapore to Malaysia in the period 1980 to 1991.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:24:y:1997:i:2:p:261-276

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