Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets
Bibliographic record
Abstract
Abstract This paper examines the linkages of stock markets across the USA, Japan and six Asian developing countries: China, India, Indonesia, Malaysia, the Philippines and Thailand over the period 1 January 1993 to 31 December 2012. The volatility spillover is modelled through an asymmetric multivariate generalized autoregressive conditional heteroscedastic model. We find significant unidirectional shock and volatility spillovers from the US market to both the Japanese and the Asian emerging markets. It is also found that the volatility spillovers between the US market and the Asian markets are stronger and bidirectional during the Asian financial crisis. Further, during the last 5 years, the linkages between the Japanese market and the Asian emerging markets became more apparent. Our paper contributes to the literature by examining both the long‐run and the short‐run periods and focusing on shock and volatility spillovers rather than return spillovers, which have been the primary focus of most other studies. Copyright © 2014 John Wiley & Sons, Ltd.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.005 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".