Volatility spillover between the Korean KOSPI and the Hong Kong HSI stock markets

investigating the effects of volatility spillover between stock, gold, oil and exchange markets

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The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Volatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market

Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the returns of other...

Revisited Return and Volatility Spillover Effect in Korea

This paper investigates the price returns and volatility linkages between the foreign exchange (KRW) and stock (KOSPI) markets in Korea, using the cointegration test, and bivariate GJR-GARCH model. Our findings from empirical analysis are summarized as follows. First, there is no long-term equilibrium relationship between the KRW and KOSPI markets. Second, exogenous variables (yen/dollar exchan...

Multifractal behavior of the Korean stock-market index KOSPI

We investigate multifractality in the Korean stock-market index KOSPI. The generalized qth order height-height correlation function shows multiscaling properties. There are two scaling regimes with a crossover time around tc = 40 min. We consider the original data sets and the modified data sets obtained by removing the daily jumps, which occur due to the difference between the closing index an...