Asymmetric volatility spillover in the Tokyo stock exchange |
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Authors: | Mario G Reyes |
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Institution: | (1) College of Business and Economics, University of Idaho, 83844-3178 Moscow, ID |
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Abstract: | This paper examines volatility transfers between size-based stock indexes from the Tokyo Stock Exchange. We use a bivariate
EGARCH model to test for volatility spillover effects between large- and small-cap stock indexes. We find an asymmetric volatility
spillover from large-cap stock returns to small-cap returns, but not vice versa. We also find a small-firm January effect,
but not a June seasonality, in either large-and small-cap stock returns. Instead, we find that the conditional correlation
between large- and small-cap indexes is time-varying, showing a tendency to increase during the month of June.(JEL G12, G15) |
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Keywords: | |
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