Return and volatility spillover across equity markets between China and Southeast Asian countries
Ngô Thái Hưng · 2019 · Journal of Economics Finance and Administrative Science
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract
Purpose This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia). Design/methodology/approach The analysis uses a vector autoregression with a bivariate GARCH-BEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis. Findings The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the sto
Abstract by Ngô Thái Hưng, Journal of Economics Finance and Administrative Science (2019) — licensed CC BY 4.0.
About to run something similar?
Run an AI Precheck on your own design to catch failure modes like this one before you spend the time. Your first desk check is free.
Related failures
The Oregon Experiment — Effects of Medicaid on Clinical Outcomes
Negative / Null Result ReportMicrocredit in Theory and Practice: Using Randomized Credit Scoring for Impact Evaluation
Negative / Null Result ReportThe Cost of Carbon: Capital Market Effects of the Proposed Emission Trading Scheme (ETS)
Negative / Null Result ReportPushing on a string: US monetary policy is less powerful in recessions ∗
Negative / Null Result ReportThe Evidence on Globalisation
Negative / Null Result ReportStatistical tests for power-law cross-correlated processes
WASTE indexes this work — it does not host or republish it. Failure-type classification is automated and approximate.
Metadata source: OpenAlex · DOI 10.1108/jefas-10-2018-0106