Joshi, Prashant Mahesh - 2018
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 …