Hamao, Y., Masulis, R.W., and Ng, V., "Correlations in Price Changes and Volatility across International Stock M arkets." Review of Financial Studies, Vol. 3 No.2 (1990), pp. 281-307.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....latility i n one currency futures contract is transmitted to other currency futures, although the pattern is very diverse. Studies of the transmission of volati lity among international stock markets examine vola tility spillovers from one marke t to another. Eun andShim (1989) use daily prices, Hamao, Masulis, and Ng (1990) and Lin, Engle and Ito (1994) use daily open and closing prices, and King and Wadhwani (1990) use hourly prices around the 1987 crash to validate volatility spillovers among these markets. 2 Stock index futures versus cash index volatility provide higher frequency data to examine volatility ....

Hamao, Y., Masulis, R.W., and Ng, V., "Correlations in Price Changes and Volatility across International Stock M arkets." Review of Financial Studies, Vol. 3 No.2 (1990), pp. 281-307.

....to find that correlation dynamics and intertemporal relation between international stock markets is a frequently explored area. Volatility spillovers from the US to the rest of the world are reported in Eun and Shim (1989) Becker, Finnerty and Gupta (1990) Fischer and Palasvirta (1990) and Hamao, Masulis and Ng (1990). Other studies such as Koch and Koch (1991) and Von Furstenberg and Jeon (1989) find correlations have increased over time. King and Wadhwani (1990) and Bertero and Mayer (1990) find a substantial increase in correlation during stock market crises. More recent papers such as Theodossiou and Lee ....

....strong indicating a more magnified effect from a negative shock than a positive shock, generated either locally or from abroad 10 . The strong volatility spillover from the US to the UK has also been reported in Theodossiou, Kahya, Koutmos and Christofi (1997) Theodossiou and Lee (1994) and Hamao, Masulis and Ng (1990). The first two papers studied weekly returns for the period 1984 to 1994. Hamao et al. use open to close and close to open daily returns for the period 1st April 1985 to 31st March 1988, report the same finding. But Hamao et al. could not confirm, at that time, if it was a true spillover effect ....

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Hamao, Y., R.W. Masulis, and V. Ng (1990), "Correlations in price changes and volatility across international stock markets," The Review of Financial Studies 3, pp. 281-307.

....been taken. First, a number of papers (see, for example, Fama, 1990) show that there is a relation between expected output and stock returns. These are generally statistical exercises and it is not possible to use these results to understand correlations of di#erent countries or sectors. Second, Hamao, Masulis and Ng (1990) and the many papers that followed this work study the spillover of information from one economy to another. While these studies are important in tracing the type of information that causes common movement in expected returns and volatility, they do not give us a starting point. That is, they do ....

Hamao, Y., R. W. Masulis, and V. Ng, 1990, "Correlations in price changes and volatility across international stock markets," Review of Financial Studies 3, 281-308.

....between 1972 and 1987; they found strong interactions among markets on the same day and they also documented changes over time in the correlation structure. Among developed countries between 1960 and 1990, Longin and Solnik (1995) concluded that both covariances and correlations were unstable. Hamao et al. (1990), King and Wadhwani (1990) and others have investigated spillovers in volatility and expected returns from one country to another. The former used a GARCH model to measure spillover while the latter used contemporaneous correlations. Volatility spillover is an important concept because it ....

Hamao, Yasushi, Ronald W. Masulis and Victor Ng, 1990. Correlations in Price Changes and Volatility across International Stock Markets, The Review of Financial Studies 3, 2, 281307.

....A number of studies examine cross border market linkages using U.S. and Japanese stock return data and significant return correlations are documented. This research includes studies by Karoyli and Stulz (1996) Booth, Lee and Tse (1996) Bae and Karolyi (1994) Becker, Finnerty and Gupta (1990) Hamao, Masulis, and Ng (1990), and Barclay, Litzenberger and Warner (1990) A research finding is that New York is the dominant world security market with Tokyo closely integrated with New York. In this paper, the term spillover effects refers to the empirical observation that returns in New York impact next day returns in ....

Hamao, Y., R. Masulis, and V. Ng, 1990, Correlations in price Changes and Volatility Across International Stock Markets, Review of Financial Studies 3, 281-307.

....day and changes in the correlation structure over time. Longin and Solnik (1995) studied the stability of the correlation in international equity returns among developed countries between 1960 and 1990 and inferred that the covariance and correlation structures were unstable over time. Finally Hamao et al. (1990), King and Wadhwani (1990) and others have studied the phenomenon of spillovers in volatility and mean across countries. The former uses a GARCH model to measure the spillover while the latter uses contemporaneous correlations. The issue of volatility spillover is an important one as it comes ....

Hamao, Yasushi, Ronald W. Masulis and Victor Ng, 1990. `Correlations in Price Changes and Volatility across International Stock Markets', The Review of Financial Studies, 3(2), pp. 281-307.

....studies have explored stock market interdependencies in terms of conditional second moments of the distribution of returns, alternatively known as volatility spillovers.# Most of these studies, however, have focused on the major US, Canadian, Japanese and UK stock markets only. For example, Hamao et al. 1990), Koutmos and Booth (1995) and Susmel and Engle (1994) focus on spillovers across New York, London and Tokyo. Theodossiou and Lee (1993) examine spillovers across US, Japan, Canada and Germany. Finally, Karolyi (1995) tests for spillovers between Canada and the US. This paper seeks to contribute ....

....0.185 1 London 0.205 0.38 1 t statistics in parentheses LB(16) and LB#(16) are the Ljung Box statistics applied on returns and squared returns respectively of each index. JB is the Jarque Bera statistic to test for normality. Statistically significant at 5 significance level. ##Hamao et al. 1990, p. 284) and Theodossiou and Lee (1993, p. 341) also use indices which are not adjusted for dividends. ##See Bollerslev et al. 1992) for a review of the relevant literature. ##A competing model which also captures the leverage e#ect is the Quadratic GARCH model proposed by Engle (1990) ....

[Article contains additional citation context not shown here]

Hamao, Y., Masulis R. W. and Ng, V. (1990) Correlations in price changes and volatility across international stock markets, Review of Financial Studies, 3, 281---307.

....day and changes in the correlation structure over time. Longin and Solnik (1995) studied the stability of the correlation in international equity returns among developed countries between 1960 and 1990 and inferred that the covariance and correlation structures were unstable over time. Finally Hamao et al. (1990), King and Wadhwani (1990) and others have studied the phenomenon of spillovers in volatility and mean across countries. The former uses a GARCH model to measure the spillover while the latter uses contemporaneous correlations. Some studies have looked at East Asian countries in particular. ....

Hamao, Yasushi, Ronald W. Masulis and Victor Ng, 1990. `Correlations in Price Changes and Volatility across International Stock Markets', The Review of Financial Studies, 3(2), pp. 281-307.

....A variety of studies using daily data or even intraday data support ARCH and GARCH effects in stock market returns. For a survey see Bollerslev, Chou, and Kroner (1992) Recently, multivariate GARCH models are used to estimate conditional covariances between different stock markets. Among others, Hamao, Masulis, and Ng (1990), King and Wadhwani (1990) Lin, Engle, and Ito (1994) and Longin and Solnik (1995) investigate volatility spillovers and linkages between markets. For example, Longin and Solnik (1995) provide some evidence that the unconditional correlation between markets increases during highly volatile ....

Hamao, Y., R. W. Masulis, and V. Ng (1990): "Correlations in Price Changes and Volatility across International Stock Markets," The Review of Financial Studies, 3, 281--307.

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Hamao, Y., Masulis, R., and Ng, V. (1990), "Correlations in Price Changes and Volatility Across International Stock Markets," Review of Financial Studies, 3, 281-307.

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