Return and volatility spillovers between the US, Japanese and Malaysian stock markets
The present study investigates the return and volatility spillover between the stock markets of the US, Japan and Malaysia using weekly data concerning the S&P 500, NIKKEI 225 and KLCI composite indices from January 1990 to May 2013. Employing a cross-correlation function method, the results sho...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2014
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| Online Access: | http://journalarticle.ukm.my/8373/1/7770-20204-1-SM.pdf |