In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976 … the behavior of the sotck market volatility changed. The analysis suggests that volatility has behaved in a di …

We propose measures of the total volatility spillover, the regional volatility spillovers of 11 countries, and the … directional volatility spillovers between Chinese and world equity markets from February 1996 to December 2009, based on forecast …: 1) The Chinese stock market was little affected by other equity markets in the sample period. After 2005, the volatility …

Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper … econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated … the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any …

This paper approaches the volatility transmission from the New York Stock Exchange to an emerging market, Bucharest … of six main indexes from Bucharest Stock Exchange. The volatility transmission from Standard and Poor 500 to the Romanian … the volatility transmission intensity increased from the first to the second period …

In this study, we investigated volatility transmission effects be-tween the US and six Asian markets — China, Hong Kong … market volatility using the volatility impulse response function (VIRF). Our empirical findings extend several recent reports …. First, the empirical results of this study show that the US and Asian stock markets are interrelated by their volatility …

This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted … derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure … of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality …

The study aims to empirically examine the transmission of volatility from global stock markets to Indian stock market … USA, FTSE 100 from UK, and Nikkei 225 from Japan. The results reveal that the Indian stock market return is co …-integrated with market returns of US, UK and Japanese stock markets. Therefore, the return and hence volatility of Indian stock market …