Volatility and price change spillover effects across the developed and emerging markets

K. C. John Wei, Yu Jane Liu, Chau Chen Yang, Guey Shiang Chaung

Research output: Journal article publicationJournal articleAcademic researchpeer-review

65 Citations (Scopus)

Abstract

This paper tests the conventional wisdom that short-term volatility and price changes spill over from developed to emerging markets, but not vice versa. We also investigate how degree of market openness affects return and volatility spillovers. Three developed markets, New York, Tokyo, and London, and two emerging markets, Taiwan and Hong Kong, are examined. Two most interesting findings are: first, the Tokyo market has less influence than the New York market over the Taiwanese and Hong Kong markets; and second, the Taiwanese market is more sensitive than the Hong Kong market to the price and volatility behavior of the advanced markets even though Taiwan is not as open as Hong Kong and the Taiwanese dollar is not linked to the U.S. dollar while the Hong Kong dollar is.

Original languageEnglish
Pages (from-to)113-136
Number of pages24
JournalPacific-Basin Finance Journal
Volume3
Issue number1
DOIs
Publication statusPublished - May 1995
Externally publishedYes

Keywords

  • GARCH model
  • Hong Kong stock market
  • Spillover
  • Taiwan stock market
  • Tokyo market
  • Volatility

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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