Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets

16 Pages Posted: 18 Jul 2015

See all articles by Y. Angela Liu

Y. Angela Liu

National Chung Cheng University

Ming-Shiun Pan

Shippensburg University - Department of Finance and Management Information & Analysis

Date Written: 1997

Abstract

This paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand. The empirical results from examining the data for the period of 1984 to 1991 suggest that the U.S. market is more influential than the Japanese market in transmitting returns and volatilities to the four Asian markets. In addition, the observed spillover effects are unstable over time in the sense that the spillovers increase substantially after the October 1987 stock market crash. Furthermore, the evidence indicates that while the cross-country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility, the market contagion also plays an important role in the transmission mechanism.

Suggested Citation

Liu, Y. Angela and Pan, Ming-Shiun, Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets (1997). Multinational Finance Journal, Vol. 1, No. 1, p. 47-62, 1997. Available at SSRN: https://ssrn.com/abstract=2631572

Y. Angela Liu (Contact Author)

National Chung Cheng University

Min-Shiung, Chia-Yi, 621
Taiwan

Ming-Shiun Pan

Shippensburg University - Department of Finance and Management Information & Analysis ( email )

Shippensburg University
Shippensburg, PA 17257
United States
717-477-1683 (Phone)
717-477-4067 (Fax)

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