Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia

This study investigates the volatility spillover effect among Asian emerging markets in pre and post 2007 financial crisis period. The sample includes five emerging markets of Asia named; China, Pakistan, Hong Kong, Sri Lanka, and India. The asymmetric volatility spillover among the stock markets is...

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Hlavní autoři:	Khalil Jebran, Shihua Chen, Irfan Ullah, Sultan Sikandar Mirza
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	KeAi Communications Co., Ltd. 2017-01-01
Edice:	Journal of Finance and Data Science
Témata:	Asia Emerging markets 2007 financial crisis Volatility spillover
On-line přístup:	http://www.sciencedirect.com/science/article/pii/S2405918816300460
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