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Networks Of Volatility Spillovers Among Stock Markets
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Book Synopsis Networks of Volatility Spillovers Among Stock Markets by : Eduard Baumohl
Download or read book Networks of Volatility Spillovers Among Stock Markets written by Eduard Baumohl and published by . This book was released on 2017 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics. We show significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of interconnectedness. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.
Book Synopsis Volatility Spillovers and Contagion from Mature to Emerging Stock Markets by : John Beirne
Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Book Synopsis Volatility Spillovers and Contagion from Mature to Emerging Stock Markets by : John Beirne
Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by INTERNATIONAL MONETARY FUND. This book was released on 2008-12-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Book Synopsis Volatility Spillover Across Major Equity Markets by : Pardeep Singh
Download or read book Volatility Spillover Across Major Equity Markets written by Pardeep Singh and published by . This book was released on 2015 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has important implications for various stakeholders. We report that there has been wide variation in results because different studies have examined different markets using wide range of financial econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any volatility spillovers between various sectors of an economy, between different financial markets of the same economy, amongst same sectors of different markets, probe whether size effect is relevant, identify the transmission channels of volatility spillover, enumerate reasons behind volatility spillover, examine asymmetric volatility responses among stock markets and can use more advanced econometric techniques.
Book Synopsis The Nature of Volatility Spillovers Across the International Capital Markets by : Gustavo Peralta
Download or read book The Nature of Volatility Spillovers Across the International Capital Markets written by Gustavo Peralta and published by . This book was released on 2016 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial and Macroeconomic Connectedness by : Francis X. Diebold
Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press. This book was released on 2015-02-03 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.
Book Synopsis Volatility Spillovers Between Foreign-Exchange and Stock Markets by : Amalia Morales-Zumaquero
Download or read book Volatility Spillovers Between Foreign-Exchange and Stock Markets written by Amalia Morales-Zumaquero and published by . This book was released on 2017 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in the seven economies which concentrate the majority of foreign exchange transactions (i.e. United Kingdom, Euro area, Australia, Swiss, Canada, United Kingdom and Japan), using daily data, during the period 1990 to 2015 and during the pre-global and post-global financial crisis periods. To that end, we employ two econometric methodologies: the C-GARCH methodology by Engle and Lee (1999) and the SVAR framework (Sohel Azad et al., 2015). Results suggest that: (i) permanent and transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis period; (iii) the presence of intra-spillovers and inter-spillovers increases substantially during the post-global financial crisis period and (iv) in all samples, the stock markets play a dominant role in the transmission of long-run and short-run volatility, except for in the period after the Global Financial Crisis, where the foreign-exchange markets are the main long-run volatility triggers.
Book Synopsis Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes by : Zihui Yang
Download or read book Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes written by Zihui Yang and published by . This book was released on 2016 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 2008. Moreover, US quantitative easing alone explains 40% to 55% of intensifying spillover from the US. The addition of interest rate and currency factors does not diminish the dominant role of quantitative easing. Our findings highlight the primary contribution of US unconventional monetary policy to volatility spillovers and potential global systemic risk.
Book Synopsis Stock Market Volatility Spillovers Among the EU Members by : Türkan Kamışlı
Download or read book Stock Market Volatility Spillovers Among the EU Members written by Türkan Kamışlı and published by . This book was released on 2010 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Networks of Global Volatility Spillovers by : Zihui Yang
Download or read book Asymmetric Networks of Global Volatility Spillovers written by Zihui Yang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 and asset classes. Our findings offer new evidence for the recent theory that shocks from an individual market or sector can lead to sizable aggregate fluctuations if network linkages are sufficiently asymmetric. We also provide a new tool for event studies in a network setting.
Book Synopsis Volatility Spillovers between the US and the China Stock Markets by : Gyu-Hyun Moon
Download or read book Volatility Spillovers between the US and the China Stock Markets written by Gyu-Hyun Moon and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the short-run spillover effects of daily stock returns and volatilities between the Samp;P 500 in the U.S. and Shanghai SSE composite in China. First, we find that a structural break occurred in the SSE stock return mean in December 2005. Second, by analyzing modified GARCH (1,1)-M models, we find evidence of a symmetric and asymmetric volatility spillover effect from the U.S. to the China stock market in the post-break period. Third, we observe the symmetric volatility spillover effect from China to the U.S. in the post-break period.
Book Synopsis Financial and Macroeconomic Connectedness by : Francis X. Diebold
Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press, USA. This book was released on 2015 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions. The authors characterize connectedness across major asset markets and financial institutions within the U.S. and across countries since the late 1990s.
Book Synopsis Volatility Spillovers in International Equity Markets by : E. Bryan Acree
Download or read book Volatility Spillovers in International Equity Markets written by E. Bryan Acree and published by . This book was released on 1996 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Are Volatility Spillovers Between Currency and Equity Market Driven by Economic States? Evidence from the US Economy by : Klaus Grobys
Download or read book Are Volatility Spillovers Between Currency and Equity Market Driven by Economic States? Evidence from the US Economy written by Klaus Grobys and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the volatility spillovers between the foreign exchange rate markets of three of the USA's major trading partners and the US stock market, utilizing the forecast-error variance decomposition framework of a VAR model proposed by Diebold and Yilmaz (2009). The empirical results, based on a data set covering the period 1986-2014 suggest that the level of total volatility spillover effects is high only when they precede periods of economic turbulence. If the economy is quiet, volatility spillover effects are virtually non-existent.
Book Synopsis Energy Prices, Inflation, and Economic Activity by : Knut Anton Mork
Download or read book Energy Prices, Inflation, and Economic Activity written by Knut Anton Mork and published by . This book was released on 1981 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Spillovers Among the U.S. and Asian Stock Markets by : Li Yang
Download or read book Volatility Spillovers Among the U.S. and Asian Stock Markets written by Li Yang and published by . This book was released on 2013 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the changing nature of volatility spillovers among the U.S. and eight East Asian stock markets between two financial crises: the Asian currency crisis and the U.S. subprime credit crisis. Our empirical results suggest that volatility is not always spilled over from directly affected markets to surrounding markets in crisis periods. The East Asian markets who directly suffered from the Asian currency crisis are the ones to which volatility is spilled over from other markets during the Asian currency crisis period, whereas unidirectional volatility spillovers from the U.S. market to other markets are observed during both crisis periods. This difference can be explained by a predetermined hierarchy in which volatility spillovers tend to start from the U.S. market regardless of the geographical origin of the crisis. Furthermore, our results reveal that the markets in three major Asian financial hubs, i.e., Japan, Hong Kong and Singapore, are the markets to which volatility is spilled over unidirectionally from several other countries during the subprime credit crisis period, whereas it is not true during the Asian currency crisis period. We attribute this difference to crisis-specific (currency or credit crisis), market-specific (credit derivatives market participation and foreign currency reserves), and time-specific (more integrated global market) factor.
Book Synopsis Regime Shifts and Volatility Spillovers on International Stock Markets by : John Hassler
Download or read book Regime Shifts and Volatility Spillovers on International Stock Markets written by John Hassler and published by . This book was released on 1995 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
