Publication Type
Journal Article
Version
acceptedVersion
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
Citation
CHOW-TAN, 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/2131
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