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 paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic … banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results from working … capital needs) borrow at a premium from domestic banks. Higher volatility of producers’ productivity shocks increases both …