-Clayton (SJC) copula to estimate the tail dependences for six major global markets (U.S., U.K., Japan, Australia, Hong Kong, and … Singapore). In implementing the SJC copula, we model the marginal distributions of returns through a semi-parametric method …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low …

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China …-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The … bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low …

. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …

. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …