This paper provides a note on commonality in volatility for five developed Asian economies, namely Hong Kong, Japan, Russia, Singapore and South Korea. Additionally, we examine whether the COVID-19 pandemic changed the commonality in volatility within the Asian region. Overall, we find that commonality in volatility during the COVID-19 period is more prominent in the case of Singapore compared to other four economies.
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Susan Sunila Sharma (2020) studied this question.
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