The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low …

This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …

hits are consistent with the existing literature for the day-of-the-week effect of stock returns carried out on Japan. This … occurrences are associated with high volatility and low limit hit occurrences are associated with low volatility …

The key objective of this study is to investigate the return and volatility spillover effects among stock market …, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between …

of ROE depends on historical volatility of ROE from data of Japanese equity. It indicates that (low) volatility of … historical ROE is important factor for earnings quality in Japan …