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Time variation paths of international transmission of stock volatility -- US vs. Hong Kong and South Korea

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  • He, Ling T.

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  • He, Ling T., 2001. "Time variation paths of international transmission of stock volatility -- US vs. Hong Kong and South Korea," Global Finance Journal, Elsevier, vol. 12(1), pages 79-93.
    • Handle: RePEc:eee:glofin:v:12:y:2001:i:1:p:79-93
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    1. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    2. Tesfatsion, Leigh & Veitch, John M., 1990. "U.S. money demand instability A flexible least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 151-173, February.
    3. Panayiotis Theodossiou & Unro Lee, 1993. "Mean And Volatility Spillovers Across Major National Stock Markets: Further Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 337-350, December.
    4. Kalaba, Robert & Tesfatsion, Leigh, 1988. "The flexible least squares approach to time-varying linear regression," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 43-48, March.
    5. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-538.
    6. Kalaba, Robert & Rasakhoo, Nima & Tesfatsion, Leigh, 1989. "A FORTRAN program for time-varying linear regression via flexible least squares," Computational Statistics & Data Analysis, Elsevier, vol. 7(3), pages 291-309, February.
    7. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    8. Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "Flexible Least Squares for Approximately Linear Systems," Staff General Research Papers Archive 11190, Iowa State University, Department of Economics.
    9. Kalaba, Robert E. & Tesfatsion, Leigh S., 1989. "Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers Archive 11196, Iowa State University, Department of Economics.
    10. Bae, Kee-Hong & Andrew Karolyi, G., 1995. "Good news, band news and international spilovers of stock return volatility between Japan and the U.S," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 144-144, May.
    11. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 241-256, June.
    12. Robert Haney Scott, 1997. "Pegged Exchange Rate Systems in Macau and Hong Kong," Multinational Finance Journal, Multinational Finance Journal, vol. 1(2), pages 153-168, June.
    13. Park, Jinwoo & Fatemi, Ali M., 1993. "The linkages between the equity markets of pacific-basin countries and those of the U.S., U.K., and Japan: A vector autoregression analysis," Global Finance Journal, Elsevier, vol. 4(1), pages 49-64.
    14. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
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    Cited by:

    1. Imran Yousaf & Shoaib Ali & Wing-Keung Wong, 2020. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management," JRFM, MDPI, vol. 13(10), pages 1-28, September.
    2. Ling T. He, & James. R. Webb & Neil Myer, 2003. "Interest Rate Sensitivities of REIT Returns," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 1-21.
    3. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics Department Working Paper Series n1540305, Department of Economics, National University of Ireland - Maynooth.
    4. Yanan Li & David E. Giles, 2015. "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(2), pages 155-177, March.
    5. Trang Nha Le & Makoto Kakinaka, 2010. "International Transmission Of Stock Returns: Mean And Volatility Spillover Effects In Indonesia And Malaysia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 115-131.
    6. Imran Yousaf & Shoaib Ali & Wing-Keung Wong, 2020. "Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications," JRFM, MDPI, vol. 13(7), pages 1-19, July.
    7. Hubbs, Todd & Kuethe, Todd H. & Baker, Timothy G., 2009. "Evaluating the Dynamic Nature of Market Risk," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53037, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    8. Fernandez-Izquierdo, Angeles & Lafuente, Juan Angel, 2004. "International transmission of stock exchange volatility: Empirical evidence from the Asian crisis," Global Finance Journal, Elsevier, vol. 15(2), pages 125-137, August.
    9. Duc Khuong Nguyen & Mondher Bellalah, 2007. "Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility," Working Papers 02, Development and Policies Research Center (DEPOCEN), Vietnam.
    10. He, Ling T., 2005. "Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 619-640, September.
    11. Yousaf, Imran & Hassan, Arshad, 2019. "Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash," Finance Research Letters, Elsevier, vol. 31(C).
    12. Kuethe, Todd H. & Foster, Kenneth A. & Florax, Raymond J.G.M., 2008. "A Spatial Hedonic Model with Time-Varying Parameters: A New Method Using Flexible Least Squares," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6306, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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