This paper investigates whether the upturns and downturns of the US market exert asymmetric influence on the conditional mean and volatility of the Japanese market using the daily returns on stock price indices. Using both the EGARCH and SV models, which simultaneously allow two kinds of...

This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...

During the past two decades, financial markets across the globe have experienced sporadic waves of crashes. Such waves raise concerns about the vulnerability of global financial markets and the transmission mechanisms of shocks beyond borders. The current study examines the co-movement of stock...