Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia »
Series: IMF Working Papers
Author(s): Jorge Chan-Lau , and Iryna Ivaschenko
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 September 2002
Keywords: Price spillovers, volatility spillovers, asymmetric GARCH models, spillovers, stock market, stock returns, stock price,
This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: th...