Intensity of Price and Volatility Spillover Effects in Asia-Pacific Basin Equity Markets

Intensity of Price and Volatility Spillover Effects in Asia-Pacific Basin Equity Markets

This paper investigates the intensity of price and volatility spillover effects in five major stock markets within the Asia Pacific basin region with a particular emphasis in the spillover effects between Australia and China. VAR(5) model is used for measuring the return spillover while AR/VAR model...

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Bibliographic Details
Main Authors: Sazali Abidin, Krishna Reddy, Chun Zhang
Format: Article
Language:English
Published: University of Wollongong 2014-12-01
Series:Australasian Accounting, Business and Finance Journal
Subjects:
Volatility modelling
VAR
GARCH
Portfolios
Investment an
Investment Analysis
Online Access:http://ro.uow.edu.au/aabfj/vol8/iss5/2

Internet

http://ro.uow.edu.au/aabfj/vol8/iss5/2

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