Return and volatility spillovers between the US, Japanese and Malaysian stock markets

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Return and volatility spillovers between the US, Japanese and Malaysian stock markets

The present study investigates the return and volatility spillover between the stock markets of the US, Japan and Malaysia using weekly data concerning the S&P 500, NIKKEI 225 and KLCI composite indices from January 1990 to May 2013. Employing a cross-correlation function method, the results sho...

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Bibliographic Details
Main Authors:	Lida Nikmanesh, Abu Hassan Shaari Mohd Nor, Tamat Sarmidi, Hawati Janor
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2014
Online Access:	http://journalarticle.ukm.my/8373/ http://journalarticle.ukm.my/8373/1/7770-20204-1-SM.pdf

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