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- W3149049103 abstract "In this paper, we measure volatility spillovers among eleven stock markets, including five developed markets (the United States, Japan, Germany, the United Kingdom, Hong Kong) and six Southeast Asian developing markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) over the 25-year period from January 1, 1993 to December 31, 2017. Employing the GARCH-DCC model and non-parametric sign tests on the correlations between developed markets and emerging markets, we find that correlations between developed markets and the Southeast Asian markets have risen sharply during periods of crisis, indicating the existence of volatility spillover effects from the developed markets to emerging ones. Full sample analysis suggests that volatility spillover from Japanese and the UK markets to the Southeast Asian emerging markets is stronger and more apparent than those transmitted from the US and Germany markets. Sub-sample analysis is able to identify the markets transmitting shocks to others. Results also suggest that Vietnam market is not fully integrated to the regional and global markets." @default.
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- W3149049103 date "2018-01-01" @default.
- W3149049103 modified "2023-09-27" @default.
- W3149049103 title "MEASURING VOLATILITY SPILLOVERS BETWEEN DEVELOPED AND SOUTHEAST ASIAN EMERGING STOCK MARKETS: A MULTIVARIATE GARCH APPROACH" @default.
- W3149049103 doi "https://doi.org/10.38203/jiem.018.1.0008" @default.
- W3149049103 hasPublicationYear "2018" @default.
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