Publication Type
Journal Article
Version
acceptedVersion
Publication Date
12-2017
Abstract
Diebold–Yilmaz spillover indexes are computed for weekly return volatilities based on daily benchmark stock indexes of the US, the UK, and 10 Asian countries. We found (i) the strengthening of overall volatility spillovers is not a temporary surge but persisted after the crisis; (ii) the susceptibility of individual Asian stock markets to inward volatility transfers is linked to its degree of openness; and (iii) the Asian bourses are becoming more important emitters of financial shocks since the crisis. Rolling regressions on volatility linkages reveal the relative dominance of the US over the Japanese and Chinese bourses, and the level of influence on Asian stock markets from the Chinese bourse has risen to that of Japan.
Keywords
Asian stock markets, return volatility, volatility spillovers
Discipline
Asian Studies | Econometrics | Finance
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
Citation
CHOW, Hwee Kwan.
Volatility spillovers and linkages in Asian stock markets. (2017). Emerging Markets Finance and Trade. 53, (12), 2770-2781.
Available at: https://ink.library.smu.edu.sg/soe_research/2117
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/1540496X.2017.1314960