This study examines whether the United States (US) macroeconomic news announcements affect volatilities of emerging stock markets in the Asia-Pacific region. For this purpose, the behavior of GARCH volatilities of nine major emerging markets (China, India, Indonesia, Malaysia, Pakistan,...

This paper examines the co-movement dynamics of ten emerging and four frontier government bond markets with the US market and driving forces behind the time-varying co-movement. Using the Dynamic Conditional Correlation (DCC) bivariate GARCH framework, we first analyze dynamic correlation...