Investment Strategy Based on Time-Varying Volatility Spillover

It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international markets is useful for investors and policymakers. This paper investigates portfolio strategies based on the volatility spillovers and aims to clarify whether an investment strategy based on volatility spillovers benefits investors