Return and Volatility Spillovers Among Asian Stock Markets

8 Pages Posted: 16 Apr 2019

See all articles by Prashant Joshi

Prashant Joshi

Bowling Green State University

Date Written: 2011


The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.

Keywords: return and volatility spillovers, unit root test, multivariate GARCH model, asymmetric volatility response

JEL Classification: C32, G15

Suggested Citation

Joshi, Prashant, Return and Volatility Spillovers Among Asian Stock Markets (2011). Available at SSRN: or

Prashant Joshi (Contact Author)

Bowling Green State University ( email )

Sylvania, OH Lucas 43560
United States

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