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dc.contributor.authorYilmaz, Kamilen_US
dc.date.accessioned2010-11-03en_US
dc.date.accessioned2011-05-09T09:34:37Z-
dc.date.available2011-05-09T09:34:37Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/45430-
dc.description.abstractThis article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes. Using the forecast error variance decomposition from a vector autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences significant bursts during major market crises, including the East Asian crisis. The fact that both return and volatility spillover indices reached their respective peaks during the current global financial crisis attests to the severity of the current episode.en_US
dc.language.isoengen_US
dc.publisherTÜSİAD-Koç University Economic Research Forum Istanbulen_US
dc.relation.ispartofseriesTÜSİAD-Koç University Economic Research Forum working paper series 0907en_US
dc.subject.jelG1en_US
dc.subject.jelF3en_US
dc.subject.ddc330en_US
dc.subject.keywordStock returnsen_US
dc.subject.keywordVolatilityen_US
dc.subject.keywordSpilloversen_US
dc.subject.keywordVector autoregressionen_US
dc.subject.keywordVariance decompositionen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwDekompositionsverfahrenen_US
dc.subject.stwSchätzungen_US
dc.subject.stwOstasienen_US
dc.titleReturn and volatility spillovers among the East Asian equity marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn638340330en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF)

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