This paper tests whether bank can be a source of contagion during the 1997 Asian crisis using asset return data from a … markets, but also on their prices, suggesting that bank can be a major source of contagion during the crisis …

This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from … connectedness to their counterparts in other countries of the region. Finally, we show that the region's bank volatility network …

This study considers the linkage of the Russian equity market to the world market, examining the international … evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility …. While the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets …