Asymmetric volatility spillover in the Tokyo Stock Exchange

被引：5

作者：

Reyes M.G. ^{[1
]}

机构：

[1] College of Business and Economics, University of Idaho, Moscow

来源：

Journal of Economics and Finance | 2001年 / 25卷 / 2期

关键词：

Stock Market; Stock Return; Stock Index; Conditional Correlation; Volatility Spillover;

D O I：

10.1007/BF02744523

中图分类号：

学科分类号：

摘要：

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.

引用

页码：206 / 213

页数：7

共 16 条

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