Publication Type

Journal Article

Publication Date

11-2017

Abstract

Diebold-Yilmaz spilloverindexes are computed for weekly return volatilities based on daily benchmarkstock indexes of US, UK and ten Asian countries. We found (i) the strengthening ofoverall volatility spillovers is not a temporary surge but persisted after thecrisis; (ii) the susceptibility ofindividual Asian stock markets to inward volatility transfers is linked to itsdegree of openness; and (iii) the Asian bourses are becoming more importantemitters of financial shocks since the crisis. Rolling regressions on volatilitylinkages reveal the relative dominance of the US over the Japanese and Chinesebourses, and the level of influence on Asian stock markets from the Chinesebourse has risen to that of Japan..

Keywords

Asian stock markets, Return volatility, Volatility spillovers

Discipline

Asian Studies | Econometrics

Research Areas

Econometrics

Publication

Emerging Markets Finance and Trade

Volume

53

Issue

12

First Page

2770

Last Page

2781

ISSN

1540-496X

Identifier

10.1080/1540496X.2017.1314960

Publisher

Taylor & Francis (Routledge): SSH Titles

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

https://doi.org/10.1080/1540496X.2017.1314960

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