Fung, Hung-Gay; Tse, Yiuman; Zhao, Lin - In: Pacific-Basin Finance Journal 25 (2013) C, pp. 200-216
This study examines the relationship between carry trade returns and those of stock markets, using daily data from January 1995 to December 2011, and evaluates volatility spillover for the Japanese, Australian, Indian and Korean stock markets, in order to assess cross-market linkages. We have...