Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in International Economics
On Emerging Asia-Pacific Equity Markets From The Perspective Of The Dynamics Of Mean And Volatility Spillovers, Li Xu
FIU Electronic Theses and Dissertations
This dissertation investigates the dynamics of mean and volatility spillovers from the U.S. and three large (regional) Asia-Pacific stock markets to ten small (local) ones from June 2008 to May 2013.
After a brief introduction to the main purposes and contributions of my research in Chapter 1, I examine the impact of lagged American and regional returns on the local markets in Chapter 2. By building up a univariate autoregressive model and treating lagged U.S. and regional returns as exogenous variables, I find that the local markets have statistically significant exposure to lagged returns of their own and the U.S. …