the early 1990s based on a GARCH framework. Using daily intervention data provided by the Japanese Ministry of Finance, we …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The …

degree of stock market integration between Russia and China as well as between them and the United States, the euro area and … integration resumes between Russia and China, and with world markets. Notably, the episode of sigma-divergence from the 2008 …/2009 crisis is stronger for China than Russia. We also find that the process of stock market integration and the impact of the …

the markets of its major trading partners (Taiwan, Singapore, Japan, South Korea, Hong Kong, India, and the US) using the …

neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China's increasing integration into … effects, we explore these issues using an Autoregressive Moving Average (ARMA) return equation. A univariate GARCH model is …. Finally, univariate GARCH, multivariate VARMA-GARCH, and multivariate VARMA-AGARCH models are used to test for constant …