Asymmetric volatility spillover in the Tokyo stock exchange

Mario Reyes ()

Journal of Economics and Finance, 2001, vol. 25, issue 2, 206-213

Abstract: This paper examines volatility transfers between size-based stock indexes from the Tokyo Stock Exchange. We use a bivariate EGARCH model to test for volatility spillover effects between large- and small-cap stock indexes. We find an asymmetric volatility spillover from large-cap stock returns to small-cap returns, but not vice versa. We also find a small-firm January effect, but not a June seasonality, in either large-and small-cap stock returns. Instead, we find that the conditional correlation between large- and small-cap indexes is time-varying, showing a tendency to increase during the month of June.(JEL G12, G15) Copyright Springer 2001

Date: 2001
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DOI: 10.1007/BF02744523

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