Asymmetric volatility transmission across Northeast Asian stock markets

Lee, Woo Suk; Lee, Hahn S.

doi:10.1016/j.bir.2021.06.004

Cited by 11 publications

(3 citation statements)

References 27 publications

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“…Moreover, Diebold and Yilmaz (2014) constructed the spillover network using the DY index and examined the relationship between some financial institutions during the global financial crisis in 2007 and 2008. This index has also been used to analyze spillovers from the global financial crisis (Liow 2015); (Wang et al 2016); (Yarovaya et al 2016) and the COVID-19 shock (Choi et al 2021); (Costa et al 2021); (Laborda and Olmo 2021); Lee and Lee (2022); (Li 2021) (Shahzad et al 2021).…”

Section: Introductionmentioning

confidence: 99%

“…Additionally, Li (2021) has shown that Japan, India, China, and Brazil are risk receivers, and the U.S. the United Kingdom, and Germany are risk transmitters. Meanwhile, Lee and Lee (2022) examined the volatility spillover relationship among China, Japan, Korea, the U.S., and the Euro area. Regrading the volatility spillover relationship between COVID-19 and industries, Laborda and Olmo (2021) and Costa et al (2021) researched the U.S., whereas Shahzad et al (2021) investigated China.…”

Section: Introductionmentioning

confidence: 99%

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Volatility Spillover among Japanese Sectors in Response to COVID-19

Shigemoto

Morimoto

2022

JRFM

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This study clarifies how risks spread across economic sectors and indicates the sectors that are the most affected to help investors with asset allocation and to support them in risk management. Although the Japanese stock market is one of the relatively large global stock markets, no studies have explored volatility spillovers among its sectors. Using the forecast error variance decomposition of the vector autoregressive model, this study examines the volatility spillovers among sectors classified on the Tokyo Stock Exchange. Our findings show that the pattern of volatility spillovers across sectors in the Japanese stock market differs between a few years preceding the coronavirus disease 2019 (pre-COVID-19), from 2014 to 2019, and during the COVID-19 period, in 2020. Although the energy resources and bank sectors are risk receivers in the pre-COVID-19 period, these sectors are risk transmitters during the COVID-19 period. We also find that volatility spillovers in the Japanese stock market are mainly driven by negative realized semivariance. These results are useful for asset allocation and risk management.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Volatility Spillover among Japanese Sectors in Response to COVID-19

Shigemoto

Morimoto

2022

JRFM

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“…Thus, the financial crises between 2007 and 2010 were spread all over the world, including some Asian countries (Abdennadher & Hellara, 2018;Cheung et al, 2010;Chudik & Fratzscher, 2011;Dornbusch et al, 2000a;Glick & Hutchison, 2013;Kenourgios, 2014;Lee & Lee, 2021;Pomfret, 2014;Wang et al, 2014;Yamamoto, 2014). On the one hand, during the subprime crisis, some works were concerned about the study of the financial contagion effect on the Asian stock markets (Aloui et al, 2011;Jin & An, 2016;Morales & Andreosso-O'Callaghan, 2012;Ye et al, 2012).…”

Section: Introductionmentioning

confidence: 99%

Stock Market Interdependence, Contagion, the Financial Subprime Crisis and the European Sovereign Debt Crisis: Evidence from the Chinese’s Stock Market

Jayech

Mazigh

Abdennadher³

2022

aamjaf

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This study analyses the contagion effects of the American, the British and the Greek stock markets on the Chinese stock market in the context of the 2007–2010 American and European financial crises. Two contagion tests have been performed using the Archimedean copula functions. The results of the first test suggest that the financial contagion existed between UK/China in the 2007 subprime financial crisis period and between U.S./China and U.K./China in the 2010 European sovereign debt crisis period. Finally, the second test shows that the contagion effects of the 2010 European sovereign debt crisis were clearly more intense than those caused by the 2007 subprime financial crisis just for the U.S./China pair. Investors' sentiment and behavior indirectly have impact on financial risk contagion in Chinese stock markets.

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Spillovers of good and bad volatility in Asian emerging markets: insights from global and regional perspectives

Baba

2024

J Econ Finan

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Asymmetric volatility transmission across Northeast Asian stock markets

Cited by 11 publications

References 27 publications

Volatility Spillover among Japanese Sectors in Response to COVID-19

Volatility Spillover among Japanese Sectors in Response to COVID-19

Stock Market Interdependence, Contagion, the Financial Subprime Crisis and the European Sovereign Debt Crisis: Evidence from the Chinese’s Stock Market

Spillovers of good and bad volatility in Asian emerging markets: insights from global and regional perspectives

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