Return and volatility spillovers among the East Asian equity markets

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes. Using the forecast error variance decomposition from a vector autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences significant bursts during major market crises, including the East Asian crisis. The fact that both return and volatility spillover indices reached their respective peaks during the current global financial crisis attests to the severity of the current episode.

How strong is the linkage between tourism and economic growth in Europe?

“…The choice of a VAR model is justified by the fact that such models help to alleviate the endogeneity problem observed in the tourism-economic growth relationship by treating all variables as potentially endogenous and explicitly modelling the feedback effects across them. The VAR-based spillover index has already attracted a considerable attention in the economic literature (see, inter alia, McMillan and Speight, 2010;Yilmaz, 2010;Bubák et al, 2011;Antonakakis, 2012;Zhou et al, 2012;Antonakakis and Badinger, 2014) and this is its first application to the tourism context.…”

Volatility spillovers in EMU sovereign bond markets

“…3 Awartania et al, (2013), Lee and Chang (2013), Chau and Deesomsak (2014) or Cronin (2014) apply this methodology to examine spillovers in the United States markets; Yilmaz (2010), Zhou et al (2012) or Narayan et al (2014) focus their analysis on Asian countries; Apostolakisa and Papadopoulos (2014) and Tsai (2014) examine G-7 economies; whilst Duncan and Kabundi (2013) center their analysis on South African markets.…”

An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries

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