Yurastika, Feny and Wibowo, Buddi (2006) Volatility Spillover between Stock and Bond Returns: Evidence from ASEAN-5 Countries. In: Proceedings of the 1st International Conference on Sustainable Management and Innovation, ICoSMI 2020, 14-16 September 2020, Bogor, West Java, Indonesia.
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Abstract
This study investigated the volatility spillover between stock and government bond returns in ASEAN-5 countries, namely Indonesia, Malaysia, Philippine, Singapore, and Thailand using stock and government bond daily return data between 3 January 2006 and 28 February 2020. Estimation using BEKK-GARCH
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 14:18 |
| Last Modified: | 17 Apr 2026 08:44 |
| URI: | http://eprints.eai.eu/id/eprint/34146 |
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