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dc.contributor.authorYilmaz, Kamilen
dc.date.accessioned2010-11-03-
dc.date.accessioned2011-05-09T09:34:37Z-
dc.date.available2011-05-09T09:34:37Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aTÜSİAD-Koç University Economic Research Forum |cIstanbulen
dc.relation.ispartofseries|aWorking Paper |x0907en
dc.subject.jelG1en
dc.subject.jelF3en
dc.subject.ddc330en
dc.subject.keywordStock returnsen
dc.subject.keywordVolatilityen
dc.subject.keywordSpilloversen
dc.subject.keywordVector autoregressionen
dc.subject.keywordVariance decompositionen
dc.subject.stwKapitalertragen
dc.subject.stwVolatilitäten
dc.subject.stwSpillover-Effekten
dc.subject.stwDekompositionsverfahrenen
dc.subject.stwSchätzungen
dc.subject.stwOstasienen
dc.titleReturn and volatility spillovers among the East Asian equity markets-
dc.typeWorking Paperen
dc.identifier.ppn638340330en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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