The equity market returns and volatility spillover from the US and Japanese markets to Asian frontier markets
Year of publication: |
2022
|
---|---|
Authors: | Thi Ngan Nguyen ; Phan Thi Kieu Hoa ; Parikh, Nirav |
Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6455, ZDB-ID 2408741-5. - Vol. 12.2022, 4, p. 491-508
|
Subject: | return spillover | volatility spillovers | frontier markets | contagion effects | ARMA-GARCH-M | USA | United States | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Japan | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Börsenkurs | Share price | ARCH-Modell | ARCH model | Ansteckungseffekt | Contagion effect | Internationaler Finanzmarkt | International financial market | Schwellenländer | Emerging economies |
-
Amin, Abu S., (2014)
-
Networks of volatility spillovers among stock markets
Baumöhl, Eduard, (2017)
-
Alikhanov, Abdulla, (2013)
- More ...
-
Thi Ngan Nguyen, (2022)
-
Dividend policy and stock price volatility in an emerging market : does ownership structure matter?
Phan Thi Kieu Hoa, (2019)
-
The pricing models of covered warrants and empirical study in Thin markets and developed markets
Phan Thi Kieu Hoa, (2018)
- More ...