Return and Volatility Spillovers Among Asian Stock Markets:

SAGE Open

Prashant Joshi¹ 

关键词: return;    volatility spillovers;    unit root test;    multivariate GARCH model;    asymmetric volatility response;   

DOI  :  10.1177/2158244011413474

学科分类：社会科学、人文和艺术（综合）

来源: Sage Journals

【 摘 要 】

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.

【 授权许可】

CC BY