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A Comparative Study on Volatility Spillovers in the Stock Markets of Korea, China and Japan
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 Title & Authors
A Comparative Study on Volatility Spillovers in the Stock Markets of Korea, China and Japan
LEE, Jin-Soo; CHOI, Tae-Yeong;
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The purpose of this research is to conduct a comparative study on the characteristics of daily volatility spillovers across the stock markets of Korea, China, and Japan. We employ generalized spillover definition and measurement developed by Diebold & Yilmaz (2009, 2012). The sample period is January 5, 1993 to September 25, 2015. From a static full-sample analysis, we find that 8.60% of forecast error variance comes from volatility spillovers. From a 250-day rolling-sample analysis, we discover that there exist significant volatility fluctuations in the stock markets of Korea, China and Japan, expecially during the Asian Financial Crisis (1998-1999) and the US Credit Crisis (2008-2009) after the collapse of Lehman Brothers. From the net directional spillovers across three countries, we come upon that there is neither a definite leader nor a significant follower during the sample period.
Spillover measurement;Rolling-sample analysis;Spillover table;Generalized variance decomposition;
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