Volatility spillover effect in Asian stock markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10248829" target="_blank" >RIV/61989100:27510/21:10248829 - isvavai.cz</a>
Result on the web
<a href="https://drive.google.com/file/d/1wV66Mqrrm_uJPpFqmyREvHX0NqUHo8aO/view" target="_blank" >https://drive.google.com/file/d/1wV66Mqrrm_uJPpFqmyREvHX0NqUHo8aO/view</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Volatility spillover effect in Asian stock markets
Original language description
An understanding of the processes of volatility spillovers among stock markets and its consequences is important for asset valuation, risk management, portfolio construction, hedging strategies and economic policy in general. This paper aims to estimate and interpret volatility spillover effects in selected Asian stock markets using multivariate GARCH models. More precisely, there will be investigated the linkages between four developed and four emerging Asian stock markets and two developed world stock markets (USA, Germany). In this paper, we employ a VAR-GARCH-BEKK model. Our investigations cover the period from January 2007 to December 2018 which includes the phase of the global financial crisis. Achieved results confirmed significant impact of the volatility spillover effect coming from the US stock market. This effect is greater in the period of the global financial crisis.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 14th International Conference Strategic Management and its Support by Information Systems 2021: May 25-26, 2021, Ostrava, Czech Republic
ISBN
978-80-248-4521-0
ISSN
2570-5776
e-ISSN
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Number of pages
9
Pages from-to
256-264
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
May 25, 2021
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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