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Modelling volatility spillovers from the US equity market to ASEAN stock markets

Citations

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Cited by:

  1. Louis Logogye & Godfred Aawaar & Kwasi Poku, 2024. "Regional and global shock spillovers to Africa’s equity markets: evidence from the global financial crisis and COVID-19 pandemic," SN Business & Economics, Springer, vol. 4(12), pages 1-31, December.
  2. Mushtaq, Hina & Ishtiaq, Muhammad & Jamal, Surayya & Raza Rizvi, Syed Maisam & Raza, Hamad, 2026. "Regime-Switching volatility and risk quantification in South Asian and developed stock Markets: A Comparative perspective using Markov-Switching GARCH with MLE and MCMC estimations," The North American Journal of Economics and Finance, Elsevier, vol. 82(C).
  3. Le Thi Minh Huong, 2024. "The contagion between stock markets: evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 17(1), pages 78-94, January.
  4. Choi, Sun-Yong, 2022. "Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  5. Sheng, Lin Wen & Uddin, Gazi Salah & Sen, Ding & Hao, Zhu Shi, 2024. "The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference," International Review of Financial Analysis, Elsevier, vol. 91(C).
  6. Amro Saleem Alamaren & Korhan K. Gokmenoglu & Nigar Taspinar, 2026. "Volatility spillover and connectedness among US renewable energy, green bonds, and cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-30, December.
  7. Samet Gunay & Walid Bakry & Somar Al-Mohamad, 2021. "The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis," JRFM, MDPI, vol. 14(4), pages 1-19, April.
  8. Tabash, Mosab I. & Sheikh, Umaid A. & Roubaud, David & Al-Faryan, Mamdouh Abdulaziz Saleh & Grebinevych, Oksana, 2025. "Do stock market quantiles intervene in the transmission of positive and negative shocks in the commodity futures and forex market returns?," Research in International Business and Finance, Elsevier, vol. 79(C).
  9. Liow, Kim Hiang & Song, Jeongseop, 2020. "Dynamic interdependence of ASEAN5 with G5 stock markets," Emerging Markets Review, Elsevier, vol. 45(C).
  10. Shabir Mohsin Hashmi & Muhammad Akram Gilal & Wing-Keung Wong, 2021. "Sustainability of Global Economic Policy and Stock Market Returns in Indonesia," Sustainability, MDPI, vol. 13(10), pages 1-18, May.
  11. Vuong, Giang Thi Huong & Nguyen, Manh Huu & Huynh, Anh Ngoc Quang, 2022. "Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  12. Zhong, Yi & Liu, Jiapeng, 2021. "Correlations and volatility spillovers between China and Southeast Asian stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 57-69.
  13. Li, Wenqi, 2021. "COVID-19 and asymmetric volatility spillovers across global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  14. Salachas, Evangelos & Kouretas, Georgios P. & Laopodis, Nikiforos T. & Vlamis, Prodromos, 2024. "Stock market spillovers of global risks and hedging opportunities," European Journal of Political Economy, Elsevier, vol. 83(C).
  15. Cao, Li & Jiang, Junhua & Piljak, Vanja, 2023. "Did mega-regional trade agreements reshuffle the financial influence of the US, China, and Japan in ASEAN? Evidence from the volatility-spillover effects," Research in International Business and Finance, Elsevier, vol. 65(C).
  16. Mohammed M. Tumala & Ngozi V. Atoi & Tari M. Karimo, 2023. "Returns and Volatility Spillover between Nigeria and Selected Global Stock Markets: A Diebold-Yilmaz Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 76(2), pages 173-208.
  17. Xiangyu Chen & Muhammad Safdar Sial & Dang Khoa Tran & Waseem Alhaddad & Jinsoo Hwang & Phung Anh Thu, 2020. "Are Socially Responsible Companies Really Ethical? The Moderating Role of State-Owned Enterprises: Evidence from China," Sustainability, MDPI, vol. 12(7), pages 1-19, April.
  18. Kalu O. Emenike, 2021. "Interdependence among West African stock markets: A dimension of regional financial integration," African Development Review, African Development Bank, vol. 33(2), pages 288-299, June.
  19. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
  20. Chao Liang & Yongan Xu & Zhonglu Chen & Xiafei Li, 2023. "Forecasting China's stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3689-3699, October.
  21. Bouri, Elie & Harb, Etienne, 2022. "The size of good and bad volatility shocks does matter for spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  22. Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
  23. Bashir Ahmad Joo & Younis Ahmed Ghulam & Simtiha Ishaq Mir, 2023. "Symmetric and asymmetric volatility spillover among BRICS countries' stock markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 50(4), pages 473-488, December.
  24. Caner Özdurak & Derya Hekim, 2024. "Beyond the Silicon Valley of the East: Exploring Portfolio Diversification with India and MINT Economies," JRFM, MDPI, vol. 17(7), pages 1-16, June.
  25. Kerry Liu, 2023. "America's decoupling from China: A perspective from stock markets," Economic Affairs, Wiley Blackwell, vol. 43(1), pages 32-52, February.
  26. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
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