Volatility spillover effects among six Asian countries

Applied Economics Letters

Volumn 16, Issue 5, 2009, Pages 501-508

  Lee, Sang Jin ^a  

^a Financial Supervisory Service   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

NUMERICAL MODEL; REGRESSION ANALYSIS; SPILLOVER EFFECT; STOCK MARKET; VARIANCE ANALYSIS;

ASIA; CHINA; EURASIA; FAR EAST; HONG KONG; INDIA; JAPAN; KOREA; SINGAPORE [SOUTHEAST ASIA]; SOUTH ASIA; SOUTH KOREA; SOUTHEAST ASIA; TAIWAN;

EID: 61849112868     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/13504850601018700     Document Type: Article

References (5)

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3. Johnson, R. and Soenen, L. (2002) Asian economic integration and stock market comovement. The Journal of Financial Research, 25, pp. 141-157.
4. Premaratne, G. and Bala, L. Stock market volatility: Examining North America, Europe and Asia Econometric Society Far Eastern Meetings.
5. Theodossiou, P., Kahya, E., Koutmos, G. and Christofi, A. (1997) Volatility reversion and correlation structure of returns in major international stock markets. The Financial Review, 32, pp. 205-224.