exchange market in selected Asian countries; Pakistan, India, Sri Lanka, China, Hong Kong and Japan. This study considered … stock and foreign exchange market. Results: The EGARCH analyses reveal bidirectional asymmetric volatility spillover between … transmission of volatility from stock market to foreign exchange market of India. The analysis reveals no evidence of volatility …

The study of volatility spillovers provides useful insights into how information is transmitted from stock market to … foreign exchange market and vice versa. This paper explores volatility spillovers between the Indian stock and foreign … exchange markets. The results indicate that there exists a bidirectional volatility spillover between the Indian stock market …

trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between …The key objective of this study is to investigate the return and volatility spillover effects among stock market … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …