Return and volatility spillovers between South African and Nigerian equity markets

Volatility spillovers across equity markets: European evidence

This paper examines the issue of volatility spillovers across the three largest European stock markets, namely London, Frankfurt and Paris. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model is used to capture potential asymmetric effects of innovations on volatility. During the period from 01/01/84 to 07/12/93, reciprocal spillovers are found to exist between Londo...

Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2) evidence of unidirectional AR...

Preliminary Inter-Temporal Volatility Spillovers and Price Dynamics Within and Between Spot and Futures Stock Markets

Formative studies have thoroughly examined causality within and between different spot and futures markets with a motivation to discover market co-movements, price leadership effects, and more recently, volatility spillovers across markets. However, the empirical framework within which this has been accomplished has neither analysed foreign spillover effects upon a spot / futures relationship n...

Herding, Information Cascades and Volatility Spillovers in Futures Markets

Intraday Price and Volatility Spillovers between Japanese and Korean Stock Markets

This study investigates the intraday price and volatility spillover effect between the Japanese market and the Korean market, using a VAR-asymmetric BEKK GARCH model. In particular, the study considers three high-frequency (10-min, 30-min, and 1-hour) intraday datasets of TOPIX and KOSPI200 markets. The empirical results indicate a bi-directional price spillover effect in the 10-min intervals, ...