This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find cross-border spillovers in returns to be nonexistent, spillovers in absolute returns between Asia and the US to be strong in both directions,...

We investigate breaks in financial spillovers between the US and eight South-East Asian capital markets before and during the 1997 Asian crisis. We construct threshold vector autoregressive models and apply novel techniques to test whether causality patterns between markets are characterized by...