Interdependence of international equity variances: Evidence from East Asian markets

Volatility transmission and volatility impulse response functions among the Greater China stock markets

“…Similarly, Yu and Hassan (2008) find strong volatility spillovers between MENA and world stock markets using the EGARCH-M models with a generalized error distribution. Chuang et al (2007) investigate the volatility spillovers in six East Asian markets and find that in addition to the strong interdependence among the conditional volatility of different markets, the Japanese market is the most influential in transmitting volatility to the other East Asian markets. Singh et al (2010) examine price and volatility spillovers across North American, European, and Asian stock markets.…”

“…Generally, the conditional variance-covariance equations incorporated into the BEKK model effectively capture the volatility dynamics among the variables 11 Note that the diagonal and scalar BEKK models are nested into the full BEKK model. 12 ⨂ is the Kronecker Tensor product.…”

Price and volatility spillovers across North American, European and Asian stock markets

“…Worthington and Higgs (2004) found the presence of positive mean and volatility spillovers across nine Asian stock markets. Chuang, Lu, and Tswei (2007) investigated the volatility spillover among six East Asian markets by using VAR-BEKK framework. They found that the Japanese market is least susceptible to volatility stimuli from other markets but, is most influential in transmitting volatility to the other East Asian markets.…”

Investment Strategies of Different Holding Periods: Evidence from Stock Markets of Hong Kong, Korea, Shanghai, and Taiwan

“…Results found significant spillover effects among five countries that are geographically close, and as markets as close to each other the effects were greater. Chuang, Lu, and Tswei (2007) did same study among six Asian stock markets including Thailand. They found high interdependencies on investment returns in various time horizons, and the Japanese stock market appears to be a potential volatility transmitter to other east Asian markets.…”