Volume 1, Number 1 / March , Pages 1-80
Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets
Multinational Finance Journal, 1997, vol. 1, no. 1, pp. 47-62
Y. Angela Liu , National Chung Cheng University, Taiwan    Corresponding Author
Ming-Shiun Pan , Shippensburg University, U.S.A.

This paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand. The empirical results from examining the data for the period of 1984 to 1991 suggest that the U.S. market is more influential than the Japanese market in transmitting returns and volatilities to the four Asian markets. In addition, the observed spillover effects are unstable over time in the sense that the spillovers increase substantially after the October 1987 stock market crash. Furthermore, the evidence indicates that while the cross–country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility, the market contagion also plays an important role in the transmission mechanism.

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