Return and volatility spillover across equity markets between China and Southeast Asian countries

Return and volatility spillover across equity markets between China and Southeast Asian countries

Purpose - This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia). Design/methodology/approach - The analysis uses a vector autoregression with a bivariate GARCH-...

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Bibliographic Details
Main Author: Ngo Thai Hung
Format: Article
Language:English
Published: Emerald Publishing 2019-06-01
Series:Journal of Economics Finance and Administrative Science
Subjects:
Financial crisis
Emerging market
Stock markets
Volatility spillover
GARCH-BEKK
Online Access:https://www.emeraldinsight.com/doi/pdfplus/10.1108/JEFAS-10-2018-0106

Internet

https://www.emeraldinsight.com/doi/pdfplus/10.1108/JEFAS-10-2018-0106

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