Volatility Spillovers and Linkages in Asian Stock Markets

Hwee Kwan Chow

Emerging Markets Finance and Trade, 2017, vol. 53, issue 12, 2770-2781

Abstract: Diebold–Yilmaz spillover indexes are computed for weekly return volatilities based on daily benchmark stock indexes of the US, the UK, and 10 Asian countries. We found (i) the strengthening of overall volatility spillovers is not a temporary surge but persisted after the crisis; (ii) the susceptibility of individual Asian stock markets to inward volatility transfers is linked to its degree of openness; and (iii) the Asian bourses are becoming more important emitters of financial shocks since the crisis. Rolling regressions on volatility linkages reveal the relative dominance of the US over the Japanese and Chinese bourses, and the level of influence on Asian stock markets from the Chinese bourse has risen to that of Japan.

Date: 2017
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DOI: 10.1080/1540496X.2017.1314960

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