ABSTRACT
With respect to international volatility transmission, Eun and Shim (1989), Hamao et al. (1990), Theodossiou and Lee (1993), Lin et al. (1994), Koutmos and Booth (1995), and Koutmos (1996) have all reported strong spillovers in volatility across global equity markets. Prior research has examined the transmission of volatility based on local, regional, and global spillovers and then expanded the scope of their study to other markets. For example, Koch and Koch (1991) suggest that regional interdependencies have grown over time. Bakaert and Harvey (1997) distinguish between global and local shocks in emerging stock markets, while Ng (2000) identified Japan (the United States) as a regional (global) contributor to world equity market volatility.
