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

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  • Hu, John Wei-Shan
  • Chen, Mei-Yuan
  • Fok, Robert C. W.
  • Huang, Bwo-Nung
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    File URL: http://www.sciencedirect.com/science/article/B6VGT-3SX54BC-4/2/80fcc5242ee6509401352657aeb50f2c
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 7 (1997)
    Issue (Month): 4 (December)
    Pages: 351-367

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    Handle: RePEc:eee:intfin:v:7:y:1997:i:4:p:351-367

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    1. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
    2. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September.
    3. John Wei, K. C. & Liu, Yu-Jane & Yang, Chau-Chen & Chaung, Guey-Shiang, 1995. "Volatility and price change spillover effects across the developed and emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 113-136, May.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    5. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    6. Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-21, March.
    9. Choudhry, Taufiq, 1995. "Integrated-GARCH and non-stationary variances: Evidence from European stock markets during the 1920s and 1930s," Economics Letters, Elsevier, vol. 48(1), pages 55-59, April.
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    Cited by:
    1. Philip Kostov & Ziping Wu & Seamus McErlean, 2004. "Do Chinese stock markets share common information arrival processes?," Econometrics 0410001, EconWPA.
    2. Wang, Zijun & Kutan, Ali M. & Yang, Jian, 2005. "Information flows within and across sectors in Chinese stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 767-780, September.
    3. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    4. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    5. Ahmed Shamiri & Abu Hassan, 2005. "Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities," Econometrics 0509015, EconWPA.
    6. Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011. "Is the Chinese Stock Market Really Efficient," MPRA Paper 35219, University Library of Munich, Germany.
    7. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
    8. Nakajima, Tadahiro & Hamori, Shigeyuki, 2013. "Testing causal relationships between wholesale electricity prices and primary energy prices," Energy Policy, Elsevier, vol. 62(C), pages 869-877.
    9. Wang, Chaug-Jung & Lee, Chien-Hui & Huang, Bwo-Nung, 2003. "An analysis of industry and country effects in global stock returns: evidence from Asian countries and the U.S," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 560-577.
    10. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Asian Real Estate Society, vol. 17(2), pages 157-202.
    11. Zhou, Xiangyi & Zhang, Weijin & Zhang, Jie, 2012. "Volatility spillovers between the Chinese and world equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 247-270.
    12. Demirer, RIza & Kutan, Ali M., 2006. "Does herding behavior exist in Chinese stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 123-142, April.

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