Measuring volatility spillovers between developed and Southeast Asian emerging stock markets: a multivariate garch approach

Measuring volatility spillovers between developed and Southeast Asian emerging stock markets: a multivariate garch approach

In this paper, we measure volatility spillovers among eleven stock markets, including five developed markets (the United States, Japan, Germany, the United Kingdom, Hong Kong) and six Southeast Asian developing markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) over the 25-y...

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Bibliographic Details
Main Authors: Thi Hoang Anh Nguyen, Thi Thanh Huyen Tran, Ngoc Kim Minh Huynh, Thi Ngoc Tran Nguyen
Format: Article
Language:English
Published: HDV INSER., JSC 2018-08-01
Series:Journal of International Economics and Management
Subjects:
volatility spillovers
garch-dcc model
emerging market
financial crisis
Online Access:https://jiem.ftu.edu.vn/index.php/jiem/article/view/192

Internet

https://jiem.ftu.edu.vn/index.php/jiem/article/view/192

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