Abstract
This paper examines volatility transfers between size-based stock indexes from the Tokyo Stock Exchange. We use a bivariate EGARCH model to test for volatility spillover effects between large- and small-cap stock indexes. We find an asymmetric volatility spillover from large-cap stock returns to small-cap returns, but not vice versa. We also find a small-firm January effect, but not a June seasonality, in either large-and small-cap stock returns. Instead, we find that the conditional correlation between large- and small-cap indexes is time-varying, showing a tendency to increase during the month of June.(JEL G12, G15)
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Reyes, M.G. Asymmetric volatility spillover in the Tokyo stock exchange. J Econ Finan 25, 206–213 (2001). https://doi.org/10.1007/BF02744523
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DOI: https://doi.org/10.1007/BF02744523