, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …

this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …

assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … variance estimation shows that the crisis period is characterized by substantial increases in volatility, establishing that the … crisis period, an increase in correlation (contagion) existed, while a continued correlation (herding) existed in the post …

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …