Volatility spillover effects amongsix Asian countries

Abstract

This article examines the volatility spillover effects among six Asian country stock markets using bivariate vector autoregression-generalized autoregressive conditional heteroskedasticity [VAR(p)-GARCH(1,1)] model. The six Asian countries are India, Hong Kong, South Korea, Japan, Singapore and Taiwan. This study found that there are statistically significant volatility spillover effects within the stock markets of these countries.

Acknowledgements

The author thanks Dr B. Wade Brorsen for helpful comments. The usual disclaimer applies. The views expressed in this article are not necessarily those of the Financial Supervisory Service, South Korea.