Returns and volatility spillover between Asian equity markets: A wavelet approach

Returns and volatility spillover between Asian equity markets: A wavelet approach

We analyse return and volatility spillover across select Asian equity markets using wavelet multiple correlation and cross-correlation. For the purpose of analysis, daily return data is taken from equity markets, viz. Bombay Stock Exchange SENSEX, Tokyo Stock Exchange NIKKEI 225, Hong Kong...

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Bibliographic Details
Main Authors: Kumar Anoop S., Kamaiah B.
Format: Article
Language:English
Published: Faculty of Economics, Belgrade 2017-01-01
Series:Ekonomski Anali
Subjects:
Asia
diversification
wavelets
volatility
spillover
stock markets
risk
Online Access:http://www.doiserbia.nb.rs/img/doi/0013-3264/2017/0013-32641712063K.pdf

Internet

http://www.doiserbia.nb.rs/img/doi/0013-3264/2017/0013-32641712063K.pdf

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