Volatility Spillover Among Stock Markets in Six Asian Countries and the United States

2009 ◽  
Author(s):  
Sang Jin Lee
Keyword(s):  
United States ◽  
Stock Markets ◽  
The United States ◽  
Volatility Spillover ◽  
Asian Countries

Volatility spillover between the US, Chinese and Australian stock markets

2017 ◽  
Vol 43 (2) ◽  
pp. 263-285 ◽  
Author(s):  
Emawtee Bissoondoyal-Bheenick ◽  
Robert Brooks ◽  
Wei Chi ◽  
Hung Xuan Do
Keyword(s):  
United States ◽  
Financial Services ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
The United States ◽  
Jel Classification ◽  
Volatility Spillover ◽  
Stock Market Volatility ◽  
Index Level ◽  
The Global Financial Crisis

We assess the stock market volatility spillover between three closely related countries, the United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one-way volatility spillover from the United States to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the global financial crisis (GFC), we find significant bilateral relationship across all of the industries across the three countries. JEL Classification: G15

scholarly journals Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach

2020 ◽  
pp. 3-3
Author(s):  
Le Nghi ◽  
Nguyen Kieu
Keyword(s):  
United States ◽  
Stock Market ◽  
Frequency Domain ◽  
Stock Markets ◽  
The United States ◽  
Frequency Domain Analysis ◽  
Volatility Spillover ◽  
Causality Test ◽  
Daily Data ◽  
Frequency Domain Approach

Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of S&P 500, Nikkei 225 and VN-Index from January 01, 2012 to May 31, 2016 is used. In terms of estimation, the GARCH model is used to estimate volatilities in these stock markets; the Granger Causality Test is used to examine volatility spillover; and the test for causality in the frequency domain by Jorg Breitung and Bertrand Candelon (2006) is used to examine the volatility spillover at different frequencies. The empirical results provide two main contributions: (i) there is a significant volatility spillover from the United States to the Vietnamese stock markets, but the evidence of volatility spillover from the Japanese to the Vietnamese stock market is not found; and (ii) the volatility spillover may vary across frequency spectrum bands. To our best understanding, volatility spillover analysis using frequency domain approach was not previously reported in literature.

Sex Differences in Mass Media Preferences Across Four Asian Countries

2011 ◽  
Vol 23 (4) ◽  
pp. 186-191 ◽  
Author(s):  
Malini Ratnasingam ◽  
Lee Ellis
Keyword(s):  
United States ◽  
Sex Differences ◽  
Mass Media ◽  
The United States ◽  
Female Students ◽  
The Internet ◽  
Evolutionary Explanation ◽  
Asian Countries ◽  
The World ◽  
Media Preferences

Background. Nearly all of the research on sex differences in mass media utilization has been based on samples from the United States and a few other Western countries. Aim. The present study examines sex differences in mass media utilization in four Asian countries (Japan, Malaysia, South Korea, and Singapore). Methods. College students self-reported the frequency with which they accessed the following five mass media outlets: television dramas, televised news and documentaries, music, newspapers and magazines, and the Internet. Results. Two significant sex differences were found when participants from the four countries were considered as a whole: Women watched television dramas more than did men; and in Japan, female students listened to music more than did their male counterparts. Limitations. A wider array of mass media outlets could have been explored. Conclusions. Findings were largely consistent with results from studies conducted elsewhere in the world, particularly regarding sex differences in television drama viewing. A neurohormonal evolutionary explanation is offered for the basic findings.

Do Stock Markets Catch the Flu?

2013 ◽  
Vol 48 (3) ◽  
pp. 979-1000 ◽  
Author(s):  
Brian C. McTier ◽  
Yiuman Tse ◽  
John K. Wald
Keyword(s):  
United States ◽  
New York ◽  
New York City ◽  
Stock Markets ◽  
The United States ◽  
Trading Activity ◽  
Market Makers ◽  
International Data ◽  
The Impact ◽  
Bid Ask Spreads

AbstractWe examine the impact of influenza on stock markets. For the United States, a higher incidence of flu is associated with decreased trading, decreased volatility, decreased returns, and higher bid-ask spreads. Consistent with the flu affecting institutional investors and market makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is related to the incidence of flu nationally. International data confirm our findings of a decrease in trading activity and returns when flu incidence is high.

scholarly journals Unknown Unknowns: Uncertainty About Risk and Stock Returns

2018 ◽  
Vol 53 (4) ◽  
pp. 1615-1651 ◽  
Author(s):  
Guido Baltussen ◽  
Sjoerd van Bekkum ◽  
Bart van der Grient
Keyword(s):  
United States ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
The United States ◽  
Pricing Mechanism ◽  
European Stock Markets ◽  
Low Uncertainty ◽  
High Uncertainty

Stocks with high uncertainty about risk, as measured by the volatility of expected volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year. This vol-of-vol effect is distinct from (combinations of) at least 20 previously documented return predictors, survives many robustness checks, and holds in the United States and across European stock markets. We empirically explore the pricing mechanism behind the vol-of-vol effect. The evidence points toward preference-based explanations and away from alternative explanations. Collectively, our results show that uncertainty about risk is highly relevant for stock prices.

scholarly journals The Role of the United States and The “Asian Solution” Approach in the Malaysia-Indonesia Confrontation (1963-1966)

2020 ◽  
Author(s):  
Rohani Hj Ab Ghani ◽  
Zulhilmi Paidi
Keyword(s):  
United States ◽  
Cold War ◽  
The United States ◽  
Asian Countries ◽  
Power Struggle ◽  
Solution Approach ◽  
Major Powers ◽  
Asian Region ◽  
The U.S

The Indonesia-Malaysia confrontation between 1963-1966 was an important event attracting the attention of politicians and scholars alike as the conflict had threatened the long existing relations between the two countries. Indonesian confrontation with Malaysia was due to its refusal to accept the formation of the new federation of Malaysia, founded on 16th September 1963. Sukarno’s confrontational stand on this had broken the long-standing sentiments of regional brotherhood or “saudara serumpun” that had nurtured between the two countries for many years. The conflict also saw the involvement of major powers like the United States (U.S.), Britain, China and Russia in the midst of bipolar power struggle between the communist and the anti-communist as part of the ongoing Cold War. The three years of confrontation witnessed great attempts at peace efforts by U.S. Although U.S. involvement in the conflict was merely as a moderator for both countries it was also fueled by its efforts of containment of communism in the Southeast Asian region. The U.S. viewed that the conflict should be resolved in the context of “Asian solution” as it involved two Asian countries A settlement to the Malaysia-Indonesia confrontation was finally achieved through the Bangkok Agreement, signed in August 1966. This paper discusses the role of U.S. in its attempts at finding an amicable settle to the confrontation in the form of “Asian solution.”  

scholarly journals Models of the pension system: international experience and local practice

2020 ◽  
pp. 43-51
Author(s):  
O. Cheberyako ◽  
V. Bykova
Keyword(s):  
United States ◽  
Hong Kong ◽  
Great Britain ◽  
Social Insurance ◽  
Pension System ◽  
The United States ◽  
Asian Countries ◽  
Private Pensions ◽  
Foreign Countries ◽  
National Models

The article substantiates the nature of the national models of the pension system and its structure in accordance with the concept of the Organization for Economic Co-operation and Development (OECD). The basis of the national models of pension system are two well-known models of social security: Bismarck and Beveridge Social Insurance Systems. Thus, authors prepared the comparison of this models. The features of pension system in the countries of Europe (Germany, Great Britain, Sweden, Poland), the United States and Chile are analysed. The analysis of the national models of the pension system in Asian countries identifies three institutional patterns: the statist pension system (Taiwan and China), the dualist pension system (Japan and Korea) and individualist pension system (Hong Kong and Singapore). Based on trends of development of pension provision in foreign countries, authors determine the main tasks and ways to improve the domestic system, namely, introduction mandatory funded pension system and reforming the voluntary private pensions insurance.

Foreign experience in the organization of innovative development of the economy

2021 ◽  
pp. 28-39
Author(s):  
V.A. Shumaev ◽  
N.A. Divueva ◽  
N.A. Lukasheva
Keyword(s):  
United States ◽  
Technology Transfer ◽  
The United States ◽  
High Tech ◽  
Innovative Development ◽  
Asian Countries ◽  
High Tech Industry ◽  
Foreign Experience

The article summarizes the experience of the United States, Germany and Asian countries in creating and organizing the development and functioning of innovative systems, technology transfer, building a high-tech industry, which is advisable to use in Russia.

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