2 edition of International spillovers and volatility asymmetries found in the catalog.
International spillovers and volatility asymmetries
Kee-Hong Bae
Published
1994
by City Polytechnic of Hong Kong in Hong Kong
.
Written in
Edition Notes
| Statement | Keehong Bae and Yang-Leung Cheung. |
| Series | Technical report -- No.94-5 |
| Contributions | Cheung, Yan-Leung., City Polytechnic of Hong Kong. Asia-Pacific Financial and Forecasting Research Centre. |
| The Physical Object | |
|---|---|
| Pagination | [4],21p. : |
| Number of Pages | 21 |
| ID Numbers | |
| Open Library | OL18281744M |
We measure the reduction in realized portfolio risk that can be achieved by allowing for volatility spillover in forecasts of equity covariance. The conditional second moment matrix of equity returns for pairs of major European equity markets is estimated via two asymmetric dynamic conditional correlation models (A-DCC): the unrestricted model includes volatility spillover e¤ects and the. The empirical findings indicate that volatility index changes are important in explaining stock returns. We also examined spillover effects across volatility indexes. The VIX is a main transmitter, and the VKOSPI the main receiver, of these spillovers. The results point to a leading role for the VIX in the international market.
Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets, Wen-Ling Lin, Takatoshi Ito. in The Internationalization of Equity Markets, Frankel. Users who downloaded this paper also downloaded * these. positive asymmetries in spillovers, including the directions and magnitudes over time. Among other results, we rigorously show that negative volatility spillovers are larger than positive spillovers across petroleum-based commodities. Such negative asymmetry is most visible before while later asymmetries in spillovers considerably decline.
The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies. In this paper, GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism. The empirical results show that there is a . The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets.
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Asymmetric volatility spillovers between world oil prices and stock markets of the G7 countries in the presence of structural breaks Dimitrios Kartsonakis‐Mademlis Corresponding Author. In this paper, we developed a novel measure to quantify the asymmetries in volatility spillovers, which emerge due to negative and positive shocks.
Using high-frequency data of ten CSI sector indices from towe employ our method to analyze the asymmetries in volatility spillover and volatility interdependence on China’s stock market at the sector by: 3. In this paper, we examine asymmetric volatility spillovers between oil and international stock markets in a vector autoregression framework using a directed acyclic graph (DAG) technique.
Asymmetries in Volatility and Spillovers and Market Development: A Comparative Study of Advanced, Emerging and Frontier Stock Markets Mohammad Khaleq Newaz 1, Jin Suk Park 2 School of Economics, Finance and Accounting, Coventry University, Priory Street, Coventry, CV1.
The paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series. In addition, the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends.
Although the presence of asymmetric volatility in financial markets has long been recognized in the literature, surprisingly, previous studies of asymmetries in International spillovers and volatility asymmetries book spillovers have not yet received the same attention.
With the availability of high-frequency data, research on financial market volatility has taken new avenues. Abstract. We document asymmetric networks of implied volatility spillovers across global stock and commodity markets as well as the US Treasury market.
There are significant asymmetries in the roles of US stock and bond markets as volatility suppliers to other countries and markets. Shocks from the US generate intensifying volatility spillovers across countries.
About this book A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics.
Price volatility spillovers among China’s crude oil, corn and fuel ethanol markets are analyzed based on weekly price data from September 5. This article explores the transmission of daytime and overnight information in terms of returns and volatility between Chinese and Asian, European and North American main stock markets.
We propose a bivariate analysis with China as benchmark. By testing the constancy of the conditional correlations, we use an extended constant or dynamic conditional. A rolling window approach is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series.
In addition, the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends. Our results also showed that conditional volatility react to good and bad news asymmetrically.
That is, the positive shocks generate less volatility than the negative shocks in all ASEAN-6 stock markets. Moreover, this paper also investigated volatility spillovers in the ASEAN-6 stock market returns with three developed indices (S&P.
The purpose of this paper is to examine the dynamic relationship between crude oil price volatility and stock markets in the emerging economies like BRIC (Brazil, Russia, India and China) countries in the context of sharp continuous fall in the crude oil price in recent times.,The stock price volatility is partly explained by volatility in crude oil price.
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over -- we document the dominating asymmetries in spillovers that are due to bad rather than good volatility.
GARCH (1,1) and EGARCH (1,1) have been used to identify the spillover effect and asymmetries or leverage effect in the volatility transmission through the estimation of different parameters. The overall findings show that there is spillover between.
We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied volatilities of US Treasury bonds, global stock indexes, and commodities.
The US stock market is the center of the international volatility spillover network and its volatility spillover to other markets has intensified since Transmission of bond volatility into equity volatility depends in a complex way upon the respective signs of the return shocks in each market.
AB - We document asymmetry in return and volatility spillover between equity and bond markets in Australia for daily returns during the period using a bivariate GARCH modelling approach. This study investigates the impact of commodity price volatility spillovers on financial sector stability.
Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability: the nominal Uganda shilling per United States dollar (UGX/USD) exchange rate.
At the same time, Moon and Yu () estimated volatility spillovers between the U.S and China stock market using Structural Break Test. In another study, Zhou et al. measured the directional volatility spillovers between Chinese and world equity markets based on volatility index proposed by Diebold and Yilmaz’s ().
We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied volatilities of U.S. Treasury bonds, global stock indices, and commodities. The U.S. stock market is the center of the international volatility spillover network, and its volatility spillover to other markets has intensified since.
(). On the relation between the expected value and volatility and of the nominal excess returns on stocks. (). Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. (). Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets.
().the volatility is strongly influenced by global factors in the fully integrated markets but is more likely to be influenced by local factors in the segmented markets. Ng () examines the magnitude and the variation of volatility spillovers from Japan and the US to pacific-basin stock markets.
Baele () quantifies the magnitude and. Gupta et al. used the Bayesian Additive Regression Trees (BART) algorithm to look at international uncertainty spillovers on Canada, while Gupta et al. investigated the effect of EPU on the business cycle for 48 US states and 51 metropolitan statistical areas.
Çekin et al. used vine copulas to look at co-dependencies in Latin-American countries.
