equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government …

volatility in international stock markets. Macroeconomic shocks (negative interest rates in Japan, economic stress in China, a …This paper examines the direction and extent of the asymmetric volatility connectedness among international equity … markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …