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..
Asian stock markets, Return volatility, Volatility spillovers
Asian Studies | Econometrics
Emerging Markets Finance and Trade
Taylor & Francis (Routledge): SSH Titles
CHOW-TAN, Hwee Kwan.
Volatility spillovers and linkages in Asian stock markets. (2017). Emerging Markets Finance and Trade. 53, (12), 2770-2781. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/2131
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