A study on the return and volatility spillovers among American, European and Asian equity markets before and after the global financial crisis

• Main Authors: Chao-Sheng Wang, 王朝生
• Other Authors: Jen-Hung Wang
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/20359997879842511880

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 99 === This study examines return and volatility spillovers across North American, European and Asian stock markets for the period of 4th January 2000 to 29th February 2010, and further observes whether the global financial crisis causes return and volatility spillovers change among these stock markets. The stock returns investigated are daily ones of ten country indices, including Japan, South Korea, Singapore, Taiwan, China, Hong Kong, UK, French, Germany and United States. The return spillover effects of North American, European and Asian are analyzed respectively by using a straight VAR model and an AR/VAR model, which takes accounts of different market opening times of the country stock markets in question. Volatility spillover effects are analyzed through two-step AR-GARCH. The results show that Asian markets are mostly influenced by U.S. market before the global financial crisis, but not so after that. Some Asian markets like Japan and South Korean have more influence than other Asian Markets. Japan market has the least price spillovers from other markets, but is the most influential in volatility spillovers to the other East Asian markets. Even after the global financial crisis, European Markets are still significantly influenced by other markets. Though the stock markets investigated incur their own regional/seasonal influences, but global financial events still have dominant influence on global volatility.