The asymmetric high-frequency volatility transmission across international stock markets

2019 ◽  
Vol 31 ◽  
pp. 104-109 ◽  
Author(s):  
Jiawen Luo ◽  
Shengquan Wang
Keyword(s):  
Stock Markets ◽  
High Frequency ◽  
Volatility Transmission ◽  
International Stock Markets

Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern?

2016 ◽  
Vol 6 (1) ◽  
pp. 42-54 ◽  
Author(s):  
Amarnath Mitra ◽  
Vishwanathan Iyer
Keyword(s):  
Stock Markets ◽  
Asia Pacific ◽  
Pacific Region ◽  
Volatility Spillover ◽  
Asia Pacific Region ◽  
Volatility Transmission ◽  
International Stock Markets

The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a period of 20 years, which includes both crisis (i.e., contagion form) and non-crisis periods. It also investigates whether the global transmission of volatility follows a pattern. The study contributes to the literature in two ways: (a) it provides a historical map of volatility transmission in the Asia-Pacific region and (b) it identifies the path and pattern of volatility spillover across stock markets in the Asia-Pacific region.

scholarly journals Characterizing the Volatility Transmission across International Stock Markets

2015 ◽  
Vol 05 (04) ◽  
pp. 571-583
Author(s):  
Amarnath Mitra ◽  
Vishwanathan Iyer ◽  
Anto Joseph
Keyword(s):  
Stock Markets ◽  
Volatility Transmission ◽  
International Stock Markets
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