Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory

This paper attempts to provide evidence of “shift-volatility” transmission in the East Asian equity markets. By “shift-volatility”, we mean the volatility shifts from a low level to a high level, corresponding respectively to tranquil and crisis periods. We examine the interdependence of...