Price and volatility spillovers across North American, European and Asian stock markets

International Review of Financial Analysis

Volumn 19, Issue 1, 2010, Pages 55-64

  Singh, Priyanka ^a   Kumar, Brajesh ^a   Pandey, Ajay ^a  

^a INDIAN INSTITUTE OF MANAGEMENT   (India)

Author keywords

Emerging market; Return spillover; VAR (15); VAR with exogenous variables; Volatility spillover

Indexed keywords

EID: 73649103688     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2009.11.001     Document Type: Article

References (29)

1. Alaganar V.T., and Bhar R. Information and volatility linkage under external shocks: Evidence from dually listed Australian stocks. International Review of Financial Analysis 11 (2002) 59-71
2. Baele, L. 2002. Volatility spillover effects in European equity markets: Evidence from a regime switching model. Mimeo: Ghent University.
3. Bala L., and Premaratne G. Stock market volatility examining North America, Europe and Asia. Far Eastern Meeting of the Econometric Society, No. 479 (2004)
4. Bartram S.M., Stephen J.T., and Wang Y.H. The Euro and European financial market dependence. Journal of Banking & Finance 31 (2007) 1461-1481
5. Bekaert G., and Harvey C. Emerging equity market volatility. Journal of Financial Economics 43 (1997) 29-77
6. Bennett P., and Keller J. The International transmission of stock price disruption in October 1987. Federal Reserve Bank of New York Quarterly Review (1988, Summer) 17-33
7. Cheung Y.W., and Westermann F. Equity price dynamics before and after the introduction of the Euro: A note. Working paper: UC Santa Cruz Economics (2001)
8. Christiansen C. Volatility spillover effects in European bond markets. Working paper: Aarhus School of Business (2003)
9. Chuang Y., Lu J., and Tswei K. Interdependence of international equity variances: Evidence from East Asian markets. Emerging Markets Review 8 (2007) 311-327
10. Clark P.K. A Subordinated stochastic process model with finite variances for speculative prices. Econometrica 41 (1973) 135-155
11. Constantinou E., Kazandjian A., Kouretas G.P., and Tahmazian V. Co-integration, causality and domestic portfolio diversification in the Cyprus Stock Exchange. Working paper: University of Crete (2005)
12. Dao C., and Wolters J. Common stochastic volatility trends in international stock returns. International Review of Financial Analysis 17 (2008) 431-445
13. Eun C.S., and Shim S. International transmission of stock market movements. Journal of Financial and Quantitative Analysis 24 (1989) 41-56
14. In F., Kim S., Yoon J.H., and Viney C. Dynamic interdependence and volatility transmission of Asian stock markets evidence from the Asian crisis. International Review of Financial Analysis 10 (2001) 87-96
15. Jang H., and Sul W. The Asian financial crisis and the co-movement of Asian stock markets. Journal of Asian Economics 13 (2002) 94-104
16. Johnson R., and Soenen L. Asian economic integration and stock market comovement. Journal of Financial Research 25 (2002) 141-157
17. Kim S.J. Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan. Journal of Japanese International Economies 19 (2005) 338-365
18. Lee J.S. Volatility spillover effects among six Asian countries. Applied Economic Letters 16 (2009) 501-508
19. Liu Y.A., and Pan M. Mean and volatility spillover effects in the U.S. and Pacific-Basin stock markets. Multinational Finance Journal 1 (1997) 47-62
20. Melle M. The EURO effect on the integration of European stock markets (2003). http://xiforofinanzas.ua.es/trabajos/1027.pdf
21. Miyakoshi T. Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of International Financial Markets, Institutions and Money 13 (2003) 383-399
22. Ng A. Volatility Spillover Effects from Japan and the US to the Pacific Basin. Journal of International Money and Finance 19 (2000) 207-233
23. Ross S.A. Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy. Journal of Finance 45 (1989) 1-17
24. Savva C.S., Osborn D.R., and Gill L. Working Paper: University of Manchester (2004)
25. Syriopoulos T. Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?. International Review of Financial Analysis 16 (2007) 41-60
26. Tauchen G.E., and Pitts M. The price variability-volume relationship on speculative markets. Econometrica 51 (1983) 485-505
27. Veiga B., and McAleer M. Multivariate volatility and spillover effects in financial markets (2003). http://www.iemss.org/iemss2004/pdf/risk/veigmult.pdf
28. Wongswan J. Transmission of information across international equity markets. Review of Financial Studies 19 (2006) 1157-1189
29. Worthington A., and Higgs H. Transmission of equity returns and volatility in Asian developed and emerging markets: A multivariate GARCH analysis. International Journal of Finance and Economics 9 (2004) 71-80