Volatility spillover effects from Japan and the US to the Pacific–Basin

By A. Ng. 2000

712 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dc5dc1ee98b1be5f1fb0733a6f94b64e14f0c92f

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Citations in the corpus

Volatility Spillovers and Dynamic Correlation in European Bond Markets (2006, positive): “2 Weekly index closing prices are measured in a common currency, following Ng (2000) , Billio and”
Determinants of stock market comovements among US and emerging economies during the US financial crisis (2013, methodology): “To resolve the heteroscedasticity issue in contagion analysis, some studies (Hamao et al., 1990; Kanas, 1998;Ng, 2000; Kim et al., 2011) utilize the MGARCH model and try to show the existence of a variance spillover effect.”
Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005, background): “…(good news).7 Hence, variants of these models have been used to accommodate the possibilities of non-normalities and asymmetries in the variance of equity returns (Glosten, Jaganathan and Runkle, 1993, Bae and Karolyi, 1994, Bekaert and Harvey, 1997, Ng, 2000, and Fratzscher, 2002 among others).”
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2008, neutral): “14 The results for Asia are broadly in line with those obtained by Ng (2000) who emphasizes the importance of global factors relative to regional factors in Pacific Basin stock markets.”
Modeling and Forecasting Volatility of the Malaysian Stock Markets (2009, result): “It is clear that the Malaysian market offer high average returns but these high returns are also characterized by high volatility, which is common for emerging markets and is consistent with previous studies([9,10]).”
Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes (2004, background): “Koutmos and Booth (1995), and Ng (2000) investigate volatility spillovers across markets, De Jong and de Roon (2001) report tests of the important international asset pricing models, and Claessens and Forbes (2001) and Rigobon (1999) study the degree of contagion across markets.”
Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis (2010, methodology): “(2000), and Bekaert, Harvey and Ng (2005). The global market in each tri-variate model is a GDP-weighted average of the US, Japan, and Europe (Germany, France, Italy, and the UK), 1 and the regional market is a weighted average of all emerging markets in the region included in our country sample, ex”
Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre (2020, positive): “According to Patton [2006], copulas can be based on conditional distributions for estimating a DCC-GARCH t-copula model:”
Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications (2013, background): “Ng (2000) and Beirne et al. (2009) find evidence of significant stock-return volatility spillovers from the US market to many Pacific-Basin countries.”
Emerging Markets Finance (2003, methodology): “Equity return volatilities in the Bekaert, Harvey and Ng (2003b) model follow univariate generalized autoregressive conditional heteroskedasticity (GARCH) processes with asymmetry as in Bekaert, and Harvey (1997) and Ng (2000).”
A New Approach to Measuring Financial Contagion (2000, background): “More recent contributions include Ramchand and Susmel (1998), Ng (2000), Connolly and Wang (2003) and Dumas, Harvey, and Ruiz (2003).”
Time-varying Integration and International diversification strategies (2009, positive): “First, there is a large literature documenting that global factor exposures increase from values close to zero to values closer to one as markets become better and better integrated (see e.g. Bekaert and Harvey, 1997, 2000; Ng, 2000; Fratzscher, 2002).”
Economic integration and stock market comovement in the Americas (2003, background): “Recently, Ng (2000) examines the magnitude and changing nature of the return and volatility spillovers from Japan and the United States to six Pacific-Basin equity markets.”
Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets (2012, methodology): “To identify and measure volatility spillovers between crude oil (co), corn (c), and ethanol (th) markets, we use an approach similar to Ng (2000) and Wu, Guan, and Myers (2011).”