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Yoshi Sugihara

Bank of Japan

CPO Box 203

Tokyo , 100-91

Japan

SCHOLARLY PAPERS

2

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223

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0

Scholarly Papers (2)

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1.

Volatility Contagion Across the Equity Markets of Developed and Emerging Market Economies

ADBI Working Paper 590
Number of pages: 24 Posted: 13 Sep 2016 Last Revised: 08 Feb 2017
Masazumi Hattori, Ilhyock Shim and Yoshi Sugihara
Hitotsubashi University, Bank for International Settlements (BIS) and Bank of Japan
Downloads 132 (551,165)

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equity market, equity fund flow, cross-equity market, spillover effects, global financial crisis, financial market volatility, variance risk premium, emerging market economies, eurozone, interest rate, nonparametric analysis, ordinary least squares, OLS,　univariate, market correlation, regression an

2.

Cross-Stock Market Spillovers Through Variance Risk Premiums and Equity Flows

BIS Working Paper No. 702
Number of pages: 60 Posted: 14 Feb 2018
Masazumi Hattori, Ilhyock Shim and Yoshi Sugihara
Hitotsubashi University, Bank for International Settlements (BIS) and Bank of Japan
Downloads 91 (742,061)

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cross-stock market correlation, emerging market economy, equity fund flow, variance risk premium