Volatility Transmission: What Does Asia-Pacific Markets Expect?

Shamiri, Ahmed (2008): Volatility Transmission: What Does Asia-Pacific Markets Expect?

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: GARCH-BEKK; volatility spillovers; multivariate GARCH
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics

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