Volatility spillover effects from Japan and the US to the Pacific

Volatility spillover effects from Japan and the US to the Pacific–Basin

Published:2000-04 Issue:2 Volume:19 Page:207-233
ISSN:0261-5606
Container-title:Journal of International Money and Finance
language:en
Short-container-title:Journal of International Money and Finance

Author:

Ng Angela

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference48 articles.

1. International portfolio choice and corporation finance: a synthesis;Adler;Journal of Finance,1983

2. The G.T. Guide to World Equity Markets;Allen,1992

3. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

4. Good news, bad news and international spillovers of stock return volatility between Japan and the US Pacific–Basin;Bae;Finance Journal,1994

5. Bailey, W., Chan, K., Chung, Y.P., 1997. Depository Receipts, Country Funds, and the Peso Crash: The Intraday Evidence. Unpublished working paper, Cornell University, Ithaca, NY.

Cited by 452 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Spillover effects and network connectedness among stock markets: evidence from the U.S. and Asia;Review of Quantitative Finance and Accounting;2024-09-13

2. Does the U.S. extreme indicator matter in stock markets? International evidence;Financial Innovation;2024-09-01

3. Volatility spillover and dynamic correlation between Islamic, conventional, cryptocurrency and precious metal markets during the immediate outbreak of COVID-19 pandemic;International Journal of Islamic and Middle Eastern Finance and Management;2024-07-24

4. Volatility Spillover from the Chinese Stock Market to the G20 Stock Markets in the Wake of the Pandemic COVID-19;Review of Pacific Basin Financial Markets and Policies;2024-06-25

5. A Study on the Spill Over Effects on Nifty 50 Returns: Evidence from Stock Market Performances of Major Asian Counterparts of India;International Journal of Innovative Science and Research Technology (IJISRT);2024-04-13