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 …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock …. Also, the study observes a positive return transmission between Japan and Nigeria only, suggesting that, investors could …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …

Asian (namely, China, Japan, Singapore and Hong Kong) and two global (namely, the United Kingdom and the United States … further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading … correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other …