Intraday Price and Volatility Spillovers between Japanese and Korean Stock Markets

@inproceedings{Kang2014IntradayPA,
  title={Intraday Price and Volatility Spillovers between Japanese and Korean Stock Markets},
  author={Sang Hoon Kang and Seong-Min Yoon},
  year={2014}
}
This study investigates the intraday price and volatility spillover effect between the Japanese market and the Korean market, using a VAR-asymmetric BEKK GARCH model. In particular, the study considers three high-frequency (10-min, 30-min, and 1-hour) intraday datasets of TOPIX and KOSPI200 markets. The empirical results indicate a bi-directional price spillover effect in the 10-min intervals, but a uni-directional price spillover from the TOPIX market to KOSPI200 market in the 30-min and 1… CONTINUE READING