-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

the financial instruments in the portfolio and on the volatility of those returns. This task is relatively simple if the … correlations and volatilities do not change over time. But in reality both volatility and stock market indexes’ correlations do …

The return and volatility spillover effects on Asian Dragons were investigated in this study. Yahoo Finance provided … unidirectional relationships, but volatility spillover effects were shown in both unidirectional and bidirectional connections. The …, the STI was a significant net transmitter of stock market volatility to other markets, according to research. As a result …