Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea

Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea

The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there are...

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Bibliographic Details
Main Author: Taly I
Format: Article
Language:English
Published: Korea Institute for International Economic Policy 2015-09-01
Series:East Asian Economic Review
Subjects:
Spillover Effect
CDS Spread
Stock Price
Foreign Exchange Rate
Multivariate VAR GARCH
Online Access:http://dx.doi.org/10.11644/KIEP.JEAI.2015.19.3.299

Internet

http://dx.doi.org/10.11644/KIEP.JEAI.2015.19.3.299

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