Volatility spillover among USA and major East Asian stock indices based on multivariate stochastic volatility with regime-switching model

摘要

This article examines the volatility spillover effects among USA and five East Asian stock markets using multivariate stochastic volatility with regime-switching model. The five East Asian stock markets are China, Hong Kong, Japan, Korea and Singapore respectively. We choose the most representative stock index in each area. Our empirical analysis of these indices daily data suggest that multivariate stochastic volatility with regime-switching model performs better in different market condition. This study found that there are no significant volatility spillover between China and USA. But there exist some significant volatility spillover among East Asian markets.