Stock Price Return and Volatility Spillovers across East Asian Equity Markets

This study examines the return and volatility spillover effects among the East Asian stock markets including U.S. stock markets. In particular, we construct total and directional spillover indices for a full sample period and sub-sample periods. We employ the forecast-error variance decomposition approach of Diebold and Yilmaz(2012). The empirical results indicate a high level of total return and volatility spillovers throughout our sample period with sharp but temporary increases during external shocks to the East Asian area. The spillovers seem to follow a more general pattern which is more likely to be affected by the corresponding phase of the business cycle. The main contributor to total return and volatility spillovers is the Hong Kong during the Asian currency crisis and U.S. after the global financial crisis. However, the U.S is only a unique net transmitter and affects more to the level of spillover effects.