Causality in volatility and volatility spillover effects between US, Japan and four equity markets in the South China Growth Triangular

Journal of International Financial Markets, Institutions and Money

Volumn 7, Issue 4, 1997, Pages 351-367

  Hu, John Wei Shan ^a   Chen, Mei Yuan ^b   Fok, Robert C W ^b   Huang, Bwo Nung ^b  

^a CHUNG YUAN CHRISTIAN UNIVERSITY   (Taiwan)

^b NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

Author keywords

Causality in volatility; South China Growth Traingular; Spillover effects

Indexed keywords

EID: 0031521265     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(97)00027-9     Document Type: Article

References (13)

1. Bollerslev, T., 1986. Generalized autoregressive conditional heteroscedasticity. J. Econometrics 31, 307-327.
2. Cheung, Y.W., Ng, L.K., 1996. A causality-in-variance test and its application to financial market prices. J. Econometrics 72, 33-48.
3. Choudhry, T., 1995. Integrated-GARCH and non-stationary variances: evidence from European stock markets during the 1920s and 1930s. Econ. Lett. 48, 55-59.
4. Engle, R.F., 1982. Autoregressive conditional heteroscedasicity with estimates of the variance of UK inflation. Econometrica 50, 987-1008.
5. Engle, R., Bollerslev, T., 1986. Modelling the persistence of conditional variances. Econometric Rev. 5, 1-50.
6. Please supply reference Epps, T.W., Epps, M.L., 1976. The stochastic dependence of security price changes and transaction volumes:implications for the mixture-of-distributions hypothesis. Econometrica 44, 305-321.
7. Hamao, Y., Masulis, R.W., Ng, V., 1990. Correlations in price changes and volatility across international stock markets. Rev. Financial Stud. 3, 281-307.
8. Huang, B.-N., Yang, C.W., An Econometric Analysis of Stock's Volatility and Trading Volume - A Case of Taiwan, Unpublished Paper, National Chung Cheng university.
9. Joen, B.N., Von Furstenberg, G.M., 1990. Growing international co-movement in stock price indexes. Q. Rev. Econ. Business 30, 15-30.
10. Koch. P.D., Yang. S.S., 1986. A method for testing the independence of two time series that accounts for a potential pattern in the cross-correlation function. J. Am. Statistics Ass. 71, 378-385.
11. Lamoureux, C.G., Lastrapes, W.D., Heteroskedasticity in stock return data volume versus GARCH effects, Journal of Finance (1990) 221-30.
12. Lo, A.W., 1991. Long-term memory in stock market prices. Econometrica 59, 1279-1313.
13. K.C. Wei, J. Liu, Y-J. Yang, C-C. Chaung, Volatility and price change spillover effects across the developed and emerging markets. Pacific-Basin Finance Journal 3 (1995) 113-36.