Volatility spillover effects amongsix Asian countries

Sang Jin Lee ()

Applied Economics Letters, 2009, vol. 16, issue 5, 501-508

Abstract: This article examines the volatility spillover effects among six Asian country stock markets using bivariate vector autoregression-generalized autoregressive conditional heteroskedasticity [VAR(p)-GARCH(1,1)] model. The six Asian countries are India, Hong Kong, South Korea, Japan, Singapore and Taiwan. This study found that there are statistically significant volatility spillover effects within the stock markets of these countries.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:16:y:2009:i:5:p:501-508

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DOI: 10.1080/13504850601018700

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