Chen, JinghuiKobayashi, MasahitoMcAleer, Michael2023-06-182023-06-1820172341-2356https://hdl.handle.net/20.500.14352/22887The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using the framework of the ARCH model. In empirical analysis we found that volatility co-movement exists among closelylinked stock markets and that volatility co-movement of the exchange rate markets tends to be found when the overall volatility level is low, which is contrasting to the often-cited finding in the financial contagion literature that financial returns have co-movement in the level during the financial crisis.engAtribución-NoComercial-CompartirIgual 3.0 Españahttps://creativecommons.org/licenses/by-nc-sa/3.0/es/technical reporthttps://www.ucm.es/icaeopen accessC12C58G01G11Lagrange multiplier testVolatility co-movementStock marketsExchange rate MarketsFinancial crisisEconomía financieraCrisis económicasEconometría (Economía)5307.06 Fluctuaciones Económicas5302 Econometría