Volatility Transmission Between the Japanese Stock Market and the Western Stock Market Indices: Time & Frequency Domain Connectedness Analysis with High-Frequency Data

Autor:	Serpil Kahraman, Merve Keser
Rok vydání:	2021
Předmět:	Economics and Econometrics Spillover effect Social connectedness Frequency domain Financial market Economics Financial fragility Econometrics Stock market Stock market index Stock (geology)
Zdroj:	Applied Economics. 54:670-684
ISSN:	1466-4283 0003-6846
DOI:	10.1080/00036846.2021.1967868
Popis:	Stock markets are the main source of financial fragility and the spillover effect due to the high level of connectedness. This study focuses on the connectedness between the Japanese stock market a...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c896baca3c9a4fd36cc46c7605a71345 https://doi.org/10.1080/00036846.2021.1967868 Zobrazit plný text záznamu