Volatility spillover in Indonesia, USA, and Japan capital market
Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets. That concern will be answered in this research, about volatility spillover in Indonesia, USA, and Japan capital market. This research using daily return data from each country indices from January 2004 until December 2008 employing econometric model GARCH (1,1). The result showing us that there is one way volatility spillover between Indonesia and USA (USA effecting Indonesia). Meanwhile, there is bidirectional volatility spillover between Indonesia and Japan (Japan influnced Indonesia, and vice versa).
|Date of creation:||Jul 2009|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006.
"Volatility comovement: a multifrequency approach,"
Journal of Econometrics,
Elsevier, vol. 131(1-2), pages 179-215.
- Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006. "Volatility Comovement: a multifrequency approach," Post-Print hal-00459667, HAL.
- Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc.
- Janakiramanan, Sundaram & Lamba, Asjeet S., 1998. "An empirical examination of linkages between Pacific-Basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 155-173, June.
- Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
- Roberto Rigobon & Brian Sack, 2003.
"Spillovers Across U.S. Financial Markets,"
NBER Working Papers
9640, National Bureau of Economic Research, Inc.
- Paul H. Kupiec, 1991. "Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform," Finance and Economics Discussion Series 165, Board of Governors of the Federal Reserve System (U.S.).
- Bekaert, Geert & Wu, Guojun, 2000.
"Asymmetric Volatility and Risk in Equity Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 13(1), pages 1-42.
- Mukherjee, Kedar nath & Mishra, Ram Kumar, 2010. "Stock market integration and volatility spillover: India and its major Asian counterparts," Research in International Business and Finance, Elsevier, vol. 24(2), pages 235-251, June.
- Erie Febrian & Aldrin Herwany, 2010. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Business, Management and Finance 201005, Department of Management and Business, Padjadjaran University, revised May 2010.
- Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
- Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-38.
- Mervyn A. King & Sushil Wadhwani, 1989.
"Transmission of Volatility Between Stock Markets,"
NBER Working Papers
2910, National Bureau of Economic Research, Inc.
- Mukherjee, Dr. Kedar nath & Mishra, Dr. R. K., 2008. "Stock Market Integration and Volatility Spillover:India and its Major Asian Counterparts," MPRA Paper 12788, University Library of Munich, Germany.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:16914. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.