文摘
The paper captures volatility linkages among various developed and emerging markets. Return co-movement effects between AUS and Asian countries are bi-directional. The US market has a higher volatility spillover on the UK than that of AUS market. The UK has a higher volatility spillover on the AUS market than that of US market. The HKG market has the largest volatility spillover on the TWN, AUS, and JPN markets.