This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its … neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China's increasing integration into … then adopted to test for the persistence of volatility in stock market returns, as represented by stock market indices …

conditions. We also found that yen sensitivity can contribute substantially to stock volatility …

Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is … the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial …

used to test for asymmetric responses of the volatility …

Characterizing asset price volatility is an important goal for financial economists. The literature has shown that … variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however … improves foreign exchange and equity volatility forecasts. We find that capital flows can help explain transitory shocks to …

performance data, such as the volatility of share prices, we find no evidence to support this hypothesis …

conditional mean and volatility of the Japanese market using the daily returns on stock price indices. Using both the EGARCH and … in the conditional volatility obtained by Koutmos and Booth (1995) although each of them analyzed only one spillover … volatility in the US market with the SV model is asymmetrically transmitted to the volatility in the Japanese market …

's volatility tomorrow), by utilizing the exponential ARCH type specification for panel data with a large number of stock issues and …