Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea

Taly I ()
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Taly I: Korea Research Institute for Human Settlements

East Asian Economic Review, 2015, vol. 19, issue 3, 275-322

Abstract: The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.

Keywords: Spillover Effect; CDS Spread; Stock Price; Foreign Exchange Rate; Multivariate VAR GARCH (search for similar items in EconPapers)
JEL-codes: F31 F41 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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