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首页> 外文期刊>International journal of finance & economics >MODELLING VOLATILITY SPILLOVER EFFECTS BETWEEN DEVELOPED STOCK MARKETS AND ASIAN EMERGING STOCK MARKETS
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MODELLING VOLATILITY SPILLOVER EFFECTS BETWEEN DEVELOPED STOCK MARKETS AND ASIAN EMERGING STOCK MARKETS

机译：对发达的股票市场和亚洲新兴的股票市场之间的波动溢出效应进行建模

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摘要

This paper examines the linkages of stock markets across the USA, Japan and six Asian developing countries: China, India, Indonesia, Malaysia, the Philippines and Thailand over the period 1 January 1993 to 31 December 2012. The volatility spillover is modelled through an asymmetric multivariate generalized autoregressive conditional heteroscedastic model. We find significant unidirectional shock and volatility spillovers from the US market to both the Japanese and the Asian emerging markets. It is also found that the volatility spillovers between the US market and the Asian markets are stronger and bidirectional during the Asian financial crisis. Further, during the last 5years, the linkages between the Japanese market and the Asian emerging markets became more apparent. Our paper contributes to the literature by examining both the long-run and the short-run periods and focusing on shock and volatility spillovers rather than return spillovers, which have been the primary focus of most other studies. Copyright (c) 2014 John Wiley & Sons, Ltd.
机译：本文研究了1993年1月1日至2012年12月31日期间美国，日本和六个亚洲发展中国家（中国，印度，印度尼西亚，马来西亚，菲律宾和泰国）的股票市场之间的联系。波动溢出是通过非对称建模的多元广义自回归条件异方差模型。我们发现，从美国市场到日本和亚洲新兴市场都有大量的单向冲击和波动性溢出。我们还发现，在亚洲金融危机期间，美国市场与亚洲市场之间的波动性溢出更强且双向。此外，在过去的五年中，日本市场与亚洲新兴市场之间的联系变得更加明显。我们的论文通过考察长期和短期周期，并着重于冲击和波动性溢出而不是回报溢出，为文献做出了贡献，而这是大多数其他研究的主要重点。版权所有（c）2014 John Wiley＆Sons，Ltd.

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