Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets

Peng, Chi-Lu; Chung, Chi-Fu; Tsai, Chin-Chang; Wang, Cheng-Te

doi:10.18488/journal.aefr/2017.7.2/102.2.175.187

Cited by 5 publications

(5 citation statements)

References 10 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“… Katzke [ 82 ] Daily closing prices of six largest industrial sector composite total return indices during January 2002 to April 2013 AR (1) model, MV-GARCH models, DCC models, VECH, and BEKK techniques, and GJR-GARCH model The results show that global and domestic economic uncertainty as well as local asset market segment significantly influences both the short run dynamics and the aggregate level of co-movement between local sector pairs. Peng et al [ 83 ] TAIEX and Nikkei from both indices over the period of January, 2000 to March, 2016 Bi-EGARCH model The past returns on NIKKEI influenced significantly current period returns of TAIEX, yet there was no such influence flowing from past returns of TAIEX to the current returns on NIKKEI index. Furthermore, the two stock markets are more sensitive to falling rather than rising trends of each other, implying that there is a mutual tendency between these markets to crash due to a retreat in the counterpart market.…”

Section: Review Of Different Studiesmentioning

confidence: 99%

Stock Market Volatility and Return Analysis: A Systematic Literature Review

Bhowmik

Wang

2020

Entropy

View full text Add to dashboard Cite

In the field of business research method, a literature review is more relevant than ever. Even though there has been lack of integrity and inflexibility in traditional literature reviews with questions being raised about the quality and trustworthiness of these types of reviews. This research provides a literature review using a systematic database to examine and cross-reference snowballing. In this paper, previous studies featuring a generalized autoregressive conditional heteroskedastic (GARCH) family-based model stock market return and volatility have also been reviewed. The stock market plays a pivotal role in today’s world economic activities, named a “barometer” and “alarm” for economic and financial activities in a country or region. In order to prevent uncertainty and risk in the stock market, it is particularly important to measure effectively the volatility of stock index returns. However, the main purpose of this review is to examine effective GARCH models recommended for performing market returns and volatilities analysis. The secondary purpose of this review study is to conduct a content analysis of return and volatility literature reviews over a period of 12 years (2008–2019) and in 50 different papers. The study found that there has been a significant change in research work within the past 10 years and most of researchers have worked for developing stock markets.

show abstract

Section: Review Of Different Studiesmentioning

confidence: 99%

Stock Market Volatility and Return Analysis: A Systematic Literature Review

Bhowmik

Wang

2020

Entropy

View full text Add to dashboard Cite

show abstract

“…The volatility spillover between indices and commodities is one of the most common studies in the finance literature. Some of these studies [3][4][5][6][7][8][9] focus on volatility spillover among developed countries, while others [10][11][12][13][14][15][16][17][18] assess volatility spillover interaction between developed countries and developing countries. The results obtained from these studies, which mainly use MGARCH models, show that there is generally unilateral volatility spread from the developed countries to developing countries.…”

Section: Literature Reviewmentioning

confidence: 99%

The Volatility and Shock Transmission Patterns Between the BIST Sustainability and BIST 100 Indices

Baykut

Kula

2019

Front. Appl. Math. Stat.

View full text Add to dashboard Cite

This study aims at empirically investigating the volatility and shock transmission patterns between the BIST 100 Index and the relatively new BIST Sustainability Index, which is a platform for companies with high performance on the international sustainability criteria. Utilizing 678 daily data from 05/11/2014, the day the XSURD Index was launched, to 31/08/2017, the analysis employed a bivariate BEKK-GARCH (1,1) model. The findings indicate the existence of bidirectional volatility spillovers between two indices. Additionally, current volatility is affected by its past volatility for each index. As for the shock transmission, the BIST Sustainability Index is responsive to both its shocks and shocks arriving from the BIST 100 Index. However, the BIST 100 Index responds only to its shocks without any significant shock transmission from the BIST Sustainability Index.

show abstract

“…Such spillover effects are seen in various studies more dynamically. Peng, Chung, Tsai, and Wang (2017) examined the spillover effect on Japanese and Taiwan equity markets. The outcomes indicate that a long-run stable relationship exists between these two stock markets.…”

Section: Introductionmentioning

confidence: 99%

Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh

Hamid

Ghafoor

Saeed

2020

GER

View full text Add to dashboard Cite

Emerging markets and volatility spillover effects remained a highly focused area in the field of financial economics. Therefore, we have empirically testified the volatility spillover effects between markets of emerging economies i.e Pakistan, China, Bangladesh, and India during the period from 1st January 2000 to 31st December 2015. We used Multivariate GARCH and causality models to identify the spillover effects. It is concluded that there exists significant evidence of spillover effect from the market of Pakistan to India, India to China and from China to Pakistan. However, the larger negative shift in the volatility occurs more frequently than positive shocks. Hence it is concluded that the impact of own spillovers of the markets is much higher than the impact of cross-market spillovers during this period.

show abstract

Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets

Cited by 5 publications

References 10 publications

Stock Market Volatility and Return Analysis: A Systematic Literature Review

Stock Market Volatility and Return Analysis: A Systematic Literature Review

The Volatility and Shock Transmission Patterns Between the BIST Sustainability and BIST 100 Indices

Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh

Contact Info

Product

Resources

About