VOLATILITY SPILLOVERS FROM THE JAPANESE STOCK MARKET TO EMERGING STOCK MARKETS

Abstract

The primary aim of this research is to investigate the transmission of volatility from the Japanese Stock Market to the Emerging Seven(E7) Stock Markets. In this study, the VAR-GARCH model has been utilized after collecting daily data from September 1, 2010, to March 15, 2021. The results indicate a substantial presence of volatility transmission from the Japanese stock market to the E7 markets. It becomes evident that the constant conditional correlations indicate a significant level of correlation between the stock markets of the majority of E7 countries and Japan. This finding implies that while analyzing the volatility between these markets, the consideration of the geographical proximity between them is also vital.