Volatility Transmission Between the Japanese Stock Market and the Western Stock Market Indices: Time & Frequency Domain Connectedness Analysis with High-Frequency Data

Serpil Kahraman and Merve Keser

Applied Economics, 2022, vol. 54, issue 6, 670-684

Abstract: Stock markets are the main source of financial fragility and the spillover effect due to the high level of connectedness. This study focuses on the connectedness between the Japanese stock market and the major Western stock market indices by performing time and frequency-domain connectedness analysis for the period between 4 January 2002, and 29 September 2020. The time-domain analysis shows that there is a high connectedness among stock market indices, and the net transmitter indices are SPX and AEX while net receiver indices are AORD and N225. The frequency-based analysis highlights that the connectedness between markets in the long term contains more information in contrast to short and medium terms. Similar to time-domain results, SPX is the net transmitter and N225 is the net receiver market indices in long term. Moreover, the dynamic analysis results illustrate the turbulent times of the volatility spillover in the long term with high and short-medium run with low spillover index. Dynamically, time-domain and long-term frequency-domain frameworks’ findings give similar time variation illustrations.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2021.1967868 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:54:y:2022:i:6:p:670-684

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2021.1967868

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().