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The study examines the return and volatility spillover among Asianstock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variableasymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft,and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The authorfinds evidence of bidirectional return, shock, and volatility spillover among most ofthe stock markets. The magnitude of volatility linkages is low indicating weakintegration of Asian stock markets. The study finds that own volatility spillover ishigher than cross-market spillover. The overall persistence of stock market volatilityis highest for Japan (0.931) and lowest for China (0.824). The implication of weakintegration is that investors will benefit from reduction of diversifiablerisk

Return and Volatility Spillovers Among Asian Stock Markets