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Spillovers of stock return volatility to Asian equity markets from Japan and the US

  • Published:2003-10 Issue:4 Volume:13 Page:383-399
  • ISSN:1042-4431
  • Container-title:Journal of International Financial Markets, Institutions and Money
  • language:en
  • Short-container-title:Journal of International Financial Markets, Institutions and Money

Author:

Miyakoshi Tatsuyoshi

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference16 articles.

1. Bank of Japan, 2001. Regional direct investment position and regional portfolio investment position. Statistics by the Bank of Japan.

2. Bank of Japan, 2001. Locational international banking statistics in Japan. Statistics by the Bank of Japan.

3. Goodnews, bad news and international spillovers of stock return volatility between Japan and the US;Base;Pacific-Basin Finance Journal,1994

4. Emerging equity market volatility;Bekaert;Journal of Financial Economics,1997

5. Generalized autoregressive conditional hetroskedasticity;Bollerslev;Journal of Econometrics,1986

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