{"id":"https://openalex.org/W2801468666","doi":"https://doi.org/10.21078/jssi-2018-097-23","title":"Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets","display_name":"Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets","publication_year":2018,"publication_date":"2018-05-08","ids":{"openalex":"https://openalex.org/W2801468666","doi":"https://doi.org/10.21078/jssi-2018-097-23","mag":"2801468666"},"language":"en","primary_location":{"id":"doi:10.21078/jssi-2018-097-23","doi":"https://doi.org/10.21078/jssi-2018-097-23","is_oa":false,"landing_page_url":"https://doi.org/10.21078/jssi-2018-097-23","pdf_url":null,"source":{"id":"https://openalex.org/S4210170797","display_name":"\u7cfb\u7edf\u79d1\u5b66\u4e0e\u4fe1\u606f\u5b66\u62a5(\u82f1\u6587)","issn_l":"1478-9906","issn":["1478-9906","2512-6660"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","norway-1","poland-20","russia-white-list-4","vabb-shw"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Systems Science and Information","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5007229048","display_name":"Roni Bhowmik","orcid":"https://orcid.org/0000-0001-8664-8286","observed_orcids":["https://orcid.org/0000-0001-8664-8286"]},"institutions":[{"id":"https://openalex.org/I19820366","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35","country_code":"CN","type":"government","lineage":["https://openalex.org/I19820366"]},{"id":"https://openalex.org/I4210120485","display_name":"Academy of Mathematics and Systems Science","ror":"https://ror.org/02jkmyk67","country_code":"CN","type":"facility","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210120485"]},{"id":"https://openalex.org/I4210165038","display_name":"University of Chinese Academy of Sciences","ror":"https://ror.org/05qbk4x57","country_code":"CN","type":"education","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210165038"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Bhowmik Roni","raw_affiliation_strings":["Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China","University of Chinese Academy of Sciences, Beijing, 100190, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China","institution_ids":["https://openalex.org/I19820366","https://openalex.org/I4210120485"]},{"raw_affiliation_string":"University of Chinese Academy of Sciences, Beijing, 100190, China","institution_ids":["https://openalex.org/I4210165038"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5048004318","display_name":"Ghulam Abbas","orcid":"https://orcid.org/0000-0002-6675-2454","observed_orcids":["https://orcid.org/0000-0002-6675-2454"]},"institutions":[{"id":"https://openalex.org/I4210165038","display_name":"University of Chinese Academy of Sciences","ror":"https://ror.org/05qbk4x57","country_code":"CN","type":"education","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210165038"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Ghulam Abbas","raw_affiliation_strings":["School of Economics and Management, University of Chinese Academy of Sciences, Beijing, 100190, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management, University of Chinese Academy of Sciences, Beijing, 100190, China","institution_ids":["https://openalex.org/I4210165038"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5078558986","display_name":"Shouyang Wang","orcid":"https://orcid.org/0000-0001-5773-998X","observed_orcids":["https://orcid.org/0000-0001-5773-998X","https://orcid.org/0000-0001-6692-7747"]},"institutions":[{"id":"https://openalex.org/I19820366","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35","country_code":"CN","type":"government","lineage":["https://openalex.org/I19820366"]},{"id":"https://openalex.org/I4210120485","display_name":"Academy of Mathematics and Systems Science","ror":"https://ror.org/02jkmyk67","country_code":"CN","type":"facility","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210120485"]},{"id":"https://openalex.org/I4210165038","display_name":"University of Chinese Academy of Sciences","ror":"https://ror.org/05qbk4x57","country_code":"CN","type":"education","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210165038"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Shouyang Wang","raw_affiliation_strings":["Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China","University of Chinese Academy of Sciences, Beijing, 100190, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China","institution_ids":["https://openalex.org/I19820366","https://openalex.org/I4210120485"]},{"raw_affiliation_string":"University of Chinese Academy of Sciences, Beijing, 100190, China","institution_ids":["https://openalex.org/I4210165038"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5007229048"],"corresponding_institution_ids":["https://openalex.org/I19820366","https://openalex.org/I4210120485","https://openalex.org/I4210165038"],"apc_list":null,"apc_paid":null,"fwci":4.6306,"has_fulltext":false,"cited_by_count":29,"citation_normalized_percentile":{"value":0.94799837,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"6","issue":"2","first_page":"97","last_page":"119"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0020000000949949026,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/return-spillovers","display_name":"return spillovers","score":0.9789999723434448},{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.9990000128746033},{"id":"https://openalex.org/keywords/stock-market-contagion","display_name":"stock market contagion","score":0.7860000133514404},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.9480000138282776},{"id":"https://openalex.org/keywords/forecast-error-variance-decomposition","display_name":"forecast error variance decomposition","score":0.7239999771118164},{"id":"https://openalex.org/keywords/granger-causality","display_name":"Granger causality","score":0.9440000057220459}],"concepts":[{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.6478123664855957},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6448281407356262},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.6331925392150879},{"id":"https://openalex.org/C129824826","wikidata":"https://www.wikidata.org/wiki/Q2630107","display_name":"Granger causality","level":2,"score":0.6138701438903809},{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.6071837544441223},{"id":"https://openalex.org/C89715816","wikidata":"https://www.wikidata.org/wiki/Q7915763","display_name":"Variance decomposition of forecast errors","level":2,"score":0.5910051465034485},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5781078934669495},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5728307962417603},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.5153079032897949},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.4983847141265869},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4912235140800476},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4898940920829773},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.477939635515213},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.407980740070343},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.17108741402626038},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.1335262656211853},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.11481264233589172},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.21078/jssi-2018-097-23","doi":"https://doi.org/10.21078/jssi-2018-097-23","is_oa":false,"landing_page_url":"https://doi.org/10.21078/jssi-2018-097-23","pdf_url":null,"source":{"id":"https://openalex.org/S4210170797","display_name":"\u7cfb\u7edf\u79d1\u5b66\u4e0e\u4fe1\u606f\u5b66\u62a5(\u82f1\u6587)","issn_l":"1478-9906","issn":["1478-9906","2512-6660"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","norway-1","poland-20","russia-white-list-4","vabb-shw"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Systems Science and Information","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17","score":0.4699999988079071}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":67,"referenced_works":["https://openalex.org/W1569955407","https://openalex.org/W1581186231","https://openalex.org/W1784708412","https://openalex.org/W1849809589","https://openalex.org/W1966694280","https://openalex.org/W1966962716","https://openalex.org/W1968456429","https://openalex.org/W1969906823","https://openalex.org/W1975226499","https://openalex.org/W1976381321","https://openalex.org/W1986117370","https://openalex.org/W1997578433","https://openalex.org/W1997864888","https://openalex.org/W1999996900","https://openalex.org/W2000005098","https://openalex.org/W2003030174","https://openalex.org/W2009639949","https://openalex.org/W2015539243","https://openalex.org/W2018932697","https://openalex.org/W2019459021","https://openalex.org/W2019903543","https://openalex.org/W2025825123","https://openalex.org/W2025899806","https://openalex.org/W2028043987","https://openalex.org/W2035441440","https://openalex.org/W2039774260","https://openalex.org/W2047313863","https://openalex.org/W2050581033","https://openalex.org/W2050949629","https://openalex.org/W2057264374","https://openalex.org/W2059477555","https://openalex.org/W2060088445","https://openalex.org/W2062449769","https://openalex.org/W2066580768","https://openalex.org/W2072517730","https://openalex.org/W2088732100","https://openalex.org/W2088978405","https://openalex.org/W2091141667","https://openalex.org/W2091358667","https://openalex.org/W2093813982","https://openalex.org/W2098929430","https://openalex.org/W2104459241","https://openalex.org/W2117330494","https://openalex.org/W2210467829","https://openalex.org/W2219194550","https://openalex.org/W2328820332","https://openalex.org/W2606705039","https://openalex.org/W2889666266","https://openalex.org/W2939024520","https://openalex.org/W3023929452","https://openalex.org/W3089136439","https://openalex.org/W3121457393","https://openalex.org/W3121537291","https://openalex.org/W3122042585","https://openalex.org/W3122159399","https://openalex.org/W3122528987","https://openalex.org/W3123118666","https://openalex.org/W3123226880","https://openalex.org/W3123289511","https://openalex.org/W3123517458","https://openalex.org/W3123595996","https://openalex.org/W3123610639","https://openalex.org/W3124124033","https://openalex.org/W3124454571","https://openalex.org/W3124547477","https://openalex.org/W3124908192","https://openalex.org/W3125017385"],"related_works":["https://openalex.org/W2060088445","https://openalex.org/W2072517730","https://openalex.org/W2676038450","https://openalex.org/W7097381600","https://openalex.org/W4295484283","https://openalex.org/W2185438504","https://openalex.org/W7043661032","https://openalex.org/W2914656793","https://openalex.org/W7101033610","https://openalex.org/W1784708412"],"abstract_inverted_index":{"Abstract":[0],"This":[1,145],"paper":[2,146],"examines":[3],"the":[4,11,23,33,36,58,68,75,88,107,121,132,159,175,192],"extent":[5,34],"of":[6,35,70,111],"contagion":[7,46],"and":[8,25,28,54,61,99,115,131,150,162,182],"interdependence":[9],"across":[10],"six":[12],"Asian":[13,37,167],"emerging":[14,38,168],"countries":[15],"stock":[16,77,169],"markets":[17,49,170],"(e.g.,":[18],"Bangladesh,":[19],"China,":[20],"India,":[21],"Malaysia,":[22],"Philippine,":[24],"South":[26],"Korea)":[27],"then":[29],"try":[30],"to":[31,84,106],"quantify":[32],"market":[39,72,78,199],"fluctuations":[40],"which":[41],"are":[42,118],"described":[43],"by":[44],"intra-regional":[45],"effect.":[47],"These":[48],"experienced":[50],"both":[51],"fast":[52],"growth":[53],"key":[55],"upheaval":[56],"during":[57,158,191],"sample":[59],"period,":[60],"thus,":[62],"provide":[63],"potentially":[64],"rich":[65],"information":[66],"on":[67],"nature":[69],"border":[71],"interactions.":[73],"Using":[74],"daily":[76],"index":[79],"data":[80,91],"from":[81],"January":[82],"2002":[83],"December":[85],"2016":[86],"(breaking":[87],"15":[89],"years":[90],"set":[92],"into":[93],"three":[94],"sub":[95],"periods;":[96],"pre-crisis,":[97,160],"crisis,":[98,161],"post":[100,163],"crisis":[101,110,164,178,195],"periods);":[102],"particularly":[103],"make":[104],"attention":[105],"global":[108,176,193],"financial":[109,177,194],"2007\u223c2008.":[112],"The":[113,180],"return":[114,151,181],"volatility":[116,149,183],"spillovers":[117,152],"modeled":[119],"through":[120],"GARCH":[122],"(generalized":[123],"autoregressive":[124],"conditional":[125],"heteroscedasticity),":[126],"pairwise":[127],"Granger":[128],"causality":[129],"tests,":[130],"forecast":[133],"error":[134],"variance":[135],"decomposition":[136],"in":[137,203],"a":[138],"generalized":[139],"VAR":[140],"(vector":[141],"auto":[142],"regression)":[143],"models.":[144],"shows":[147],"that":[148],"behave":[153],"very":[154],"differently":[155],"over":[156],"time,":[157],"periods.":[165],"Importantly,":[166],"interaction":[171],"is":[172],"less":[173],"before":[174],"period.":[179],"spillover":[184],"indices":[185],"touch":[186],"their":[187],"respective":[188],"historical":[189],"peaks":[190],"2007\u223c2008,":[196],"however":[197],"Bangladeshi":[198],"faces":[200],"this":[201],"condition":[202],"2009\u223c2010.":[204]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2018-05-17T00:00:00"}
