Return and Volatility Spillovers and Cojump Behavior Between the U.S. and Korean Stock Markets

Jun Sik Kim and Doojin Ryu

Emerging Markets Finance and Trade, 2015, vol. 51, issue S1, S3-S17

Abstract: In this study, we examine return spillover, volatility transmission, and cojump behavior between the U.S. and Korean stock markets. In particular, we focus on cojump behavior between the two markets in order to explain the transmission of unexpected shocks. We find that the U.S. stock market causes return spillover effects in the Korean stock market, and there is significant volatility transmission between the two markets. Importantly, we find a stronger association in size, as compared with intensity, of cojumps between the U.S. and Korean stock markets, particularly during the recent financial crisis.

Date: 2015
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DOI: 10.1080/1540496X.2014.998881

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