Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets
David Giles () and
No 1301, Econometrics Working Papers from Department of Economics, University of Victoria
This paper examines the linkages of stock markets across the U.S., Japan and six Asian developing countries: China, India, Indonesia, Malaysia, the Philippines and Thailand over the period January 1, 1993 to December 31, 2012. The volatility spillover is modeled through an asymmetric multivariate GARCH model. We find significant unidirectional shock and volatility spillovers from the U.S. market to both the Japanese and the Asian emerging markets. It is also found that the volatility spillovers between the U.S. market and the Asian markets are stronger and bidirectional during the Asian financial crisis. Further, during the last five years, the linkages between the Japanese market and the Asian emerging markets became more apparent. Our paper contributes to the literature by examining both the long run and the short run periods and focusing on shock and volatility spillovers rather than return spillovers, which have been the primary focus of most other studies.
Keywords: Volatility; Spillovers; Stock markets; Multivariate GARCH; Asymmetric BEKK model (search for similar items in EconPapers)
JEL-codes: C32 C58 G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-sea
Note: ISSN 1485-6441
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Journal Article: Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicewp:1301
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