The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low … indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross …

The major aim of this empirical study is to estimate the volatility time series returns for a cluster of international … capture volatility clusters and changes in long and short term volatility impact. The econometric approch is based on randomly … using GARCH family models for estimating financial market volatility. Moreover, the sampled time interval includes two …

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …