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State dependent correlation and lead-lag relation when volatility of markets is large : evidence from the US and Asian emerging markets

Huang, Bwo-nung; Sohng, Soong-nark; Yang, Chin-wei - In: Journal of economic development 24 (1999) 2, pp. 57-77

Persistent link: https://www.econbiz.de/10001468679

Stock market linkages and spillover effects : an empirical analysis of select Asian markets

Sehgal, Sanjay; Bijoy, Kumar; Saini, Sakshi - In: Theoretical economics letters 9 (2019) 5, pp. 1447-1472

Persistent link: https://www.econbiz.de/10012104479

Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232

correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 …

Persistent link: https://www.econbiz.de/10011296721

Return and Volatility Spillovers Among Asian Stock Markets

Joshi, Prashant - 2019

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The …

Persistent link: https://www.econbiz.de/10012890259