Correlations in Price Changes and Volatility across International Stock Markets

Stock market integration and volatility spillover: India and its major Asian counterparts

“…Leong (2003) have analyzed the interdependence of five East Asian stock price indices where some of the pairs of markets are found to be cointegrated. Elyasiani (1998) Unlike only return spillover, studies examining the spillover of information both in terms of return and volatility includes Hamao (1990), Christofi (1999) found large and predominantly positive volatility spillovers and volatility persistence in conditional volatility between MENA and world stock markets, volatility spillovers within the MENA region are found to be higher than cross-volatility spillovers for all the markets. At the same time, while examining the dynamic linkage between the MENA countries, Alkulaib (2008) have found some regional inconsistency in the information spillover among the markets.…”

“…known that an overlap in the trading period intervals across the markets may induce positive correlation in the returns and volatility of the markets (Hamao, 1990). Information relating to the concurrent intraday return in the foreign market may be transmitted to the overnight returns in the domestic market.…”

The day of the week effect on stock market volatility

“…A set of empirical studies recently has investigated the time series behavior of stock prices in terms of volatility by using variations of GARCH models (French, Schwert, and Stambaugh 1987;Akgiray 1989;Baillie and DeGennaro 1990;Hamao, Masulis, and Ng 1990;Nelson 1991;Campbell and Hentschel 1992;Glosten, Jagannathan, and Runkle 1993). French, Schwert and Stambaugh (1987) examine the relation between stock prices and volatility and report that unexpected stock market returns are negatively related to the unexpected changes in volatility.…”

“…While the focus of the studies above has been the seasonal pattern in mean return, recently many empirical studies have investigated the time series behavior of stock prices in terms of volatility by using variations of the generalized autoregressive conditional heteroskedasticity (GARCH) models (French, Schwert, and Stambaugh 1987;Akgiray 1989;Baillie and DeGennaro 1990;Hamao, Masulis, and Ng 1990;Nelson 1991;Campbell and Hentschel 1992;Glosten, Jagannathan and Runkle 1993). However, none of these studies examine if there is any day of the week variation in volatility.…”

Routes to equity market integration — the interplay between politicians, investors and managers

“…Eun and Shim, 1989;Hamao, Masulis and Ng, 1990;Lau and Diltz, 1994;Lin, Engle and Ito 1994; for correlation of hourly returns, see e.g. Susmel and Engle, 1994; for testing the stability of correlation coefficients, see e.g.…”