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Volatility Transmission: What Does Asia-Pacific Markets Expect?

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  • Shamiri, Ahmed

Abstract

The purpose of this paper is to investigate the international information transmission of return and volatility spillovers from the US and Japan and the rest of the Asia-Pacific markets using daily stock market return data covering the last 14 years. In the majority of the markets under scrutiny, we provide evidence of direct volatility spillovers, running mainly from the Japanese and US markets and pointing to more rapid information transmission during the recent years. First, the volatility of the Asia-Pacific markets is becoming influenced more by the US market for the recent years. Secondly, for international investors to get profits from the returns of Asia-Pacific securities, it is necessary to pay attention to the US market directly. Third, Korea, Singapore and Hong Kong are among the most Asia-Pacific markets vulnerable to shocks from US investors due to the large ratio of portfolio holding.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13706.

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Date of creation: 2008
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Handle: RePEc:pra:mprapa:13706

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Keywords: GARCH-BEKK; volatility spillovers; multivariate GARCH;

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  1. Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(2), pages 207-233, April.
  2. Demirguc-Kent, Asli & Detragiache, Enrica, 1998. "Financial liberalization and financial fragility," Policy Research Working Paper Series, The World Bank 1917, The World Bank.
  3. Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(1), pages 11-25, January.
  4. Graciela Kaminsky & Sergio Schmukler, 2003. "Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization," NBER Working Papers 9787, National Bureau of Economic Research, Inc.
  5. 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, Elsevier, vol. 3(1), pages 113-136, May.
  6. Miyakoshi, Tatsuyoshi, 2003. "Spillovers of stock return volatility to Asian equity markets from Japan and the US," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(4), pages 383-399, October.
  7. Sang W. Kim & John H. Rogers, 1995. "International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 499, Board of Governors of the Federal Reserve System (U.S.).
  8. Kim, Suk-Joong, 2003. "The spillover effects of US and Japanese public information news in advanced Asia-Pacific stock markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(5), pages 611-630, November.
  9. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(01), pages 122-150, February.
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