In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating...

The VIX index and trading volume (VO) can subsume information of the future volatility in financial markets, and therefore, have been commonly used as volatility forecasting instruments. Previous studies have identified superior VIX- and VO-based forecasts compared to various GARCH-type models,...

The paper analyses asymmetry in return reversals and in time-varying volatilities and their interactions using daily returns on the Shanghai Stock Exchange and Shenzhen Stock Exchange. It is concluded that asymmetry in volatilities arises from unconfirmed asymmetry in return reversals, or...