The empirical objective of this study is to account for the time-variation the covariances between markets. Using data on sixteen national stock markets, we estimate a multivariate factor model in whi
The aim of this study is to determine whether the stock indices of some developed and developing countries react similarly to the price movements in the Dow Jones Industrial Average (DJIA). In this st
Data consists of 10 Asian countries, Japan, China, Hong Kong, Taiwan, South Korea, Singapore, Malaysia, Thailand, Indonesia, Philippines plus U.S., total 11 countries. Monthly stock market index and n
This study examines the systemic risk spillover from global stock market to registered country stock markets. All stock markets are from MSCI investible stock market indices from 2017 to 2021. An unpr
