Price And Volatility Spillovers Across North American European And Asian Stock Markets

Download Price And Volatility Spillovers Across North American European And Asian Stock Markets full books in PDF, epub, and Kindle. Read online Price And Volatility Spillovers Across North American European And Asian Stock Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Price and Volatility Spillovers Across North American, European and Asian Stock Markets

Author : Priyanka Singh
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Price and Volatility Spillovers Across North American, European and Asian Stock Markets by : Priyanka Singh

Download or read book Price and Volatility Spillovers Across North American, European and Asian Stock Markets written by Priyanka Singh and published by . This book was released on 2010 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. These markets are that of Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and United States. Vector autoregressive model (VAR 15) is used to estimate the conditional return spillover among these indices in which all fifteen indices are considered together. The effect of same day return in explaining the return spillover is also modeled using univariate models. Volatility spillover is estimated through AR-GARCH in which residuals from the index return is used as explanatory variable in GARCH equation. Return and volatility spillover between Indian and other markets are modeled through bivariate VAR and multivariate GARCH (BEKK) model respectively. It is found that there is greater regional influence among Asian markets in return and volatility than with European and US. Japanese market, which is first to open, is affected by US and European markets only and affects most of the Asian Markets. Also, high degree of correlation among European indices namely FTSE, CAC and DAX is observed. US market is influenced by both Asian and European markets. Specific to Indian context, it is found that Indian market is not cointegrated with rest of the world except Indonesia. However, strong short run interdependence is found between Indian markets and most of the other markets. Indian and other markets like US, Japan, Korea, and Canada positively affect each others' conditional returns significantly. Indian market also has significant effect on Malaysia, Pakistan, and Singapore return.

Stock Market Volatility

Author : Gamini Premaratne
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

DOWNLOAD NOW!

Book Synopsis Stock Market Volatility by : Gamini Premaratne

Download or read book Stock Market Volatility written by Gamini Premaratne and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on risk averse investors. Using daily returns from 1992 to 2002, we investigate volatility co-movement between the Singapore stock market and the markets of US, UK, Hong Kong and Japan. In order to gauge volatility comovement, we employ econometric models of (i) Univariate GARCH, (ii) Vector Autoregression and (iii) a Multivariate and Asymmetric Multivariate GARCH model with GJR extensions. The empirical results indicate that there is a high degree of volatility co-movement between Singapore stock market and that of Hong Kong, US, Japan and UK (in that order). Results support small but significant volatility spillover from Singapore into Hong Kong, Japan and US markets despite the latter three being dominant markets. Most of the previous research concludes that spillover effects are significant only from the dominant market to the smaller market and that the volatility spillover effects are unidirectional. Our study evinces that it is plausible for volatility to spill over from the smaller market to the dominant market. At a substantive level, studies on volatility co-movement and spillover provide useful information for risk analysis.

Volatility Spillovers Among the U.S. and Asian Stock Markets

Author : Li Yang
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

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.

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Author : John Beirne
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.3/5 ( download)

DOWNLOAD NOW!

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.

Return and Volatility Spillovers Among Asian Stock Markets

Author : Prashant Mahesh Joshi
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Return and Volatility Spillovers Among Asian Stock Markets by : Prashant Mahesh Joshi

Download or read book Return and Volatility Spillovers Among Asian Stock Markets written by Prashant Mahesh Joshi and published by . This book was released on 2018 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity-Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Author : Jorge A. Chan-Lau
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia by : Jorge A. Chan-Lau

Download or read book Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia written by Jorge A. Chan-Lau and published by . This book was released on 2006 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period the tech bubble period, and the stock market correction period. Hong Kong SAR, Japan, and Singapore also were important spillover sources within the Asian region and affected United States to a lesser degree during the stock market correction period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the tech bubble period.

Volatility Spillover Among Stock Markets in Six Asian Countries and the United States

Author : Sang Jin Lee
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Volatility Spillover Among Stock Markets in Six Asian Countries and the United States by : Sang Jin Lee

Download or read book Volatility Spillover Among Stock Markets in Six Asian Countries and the United States written by Sang Jin Lee and published by . This book was released on 2009 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the volatility spillover effects among six Asian country stock markets and the United States. The six Asian countries are India, Hong Kong, South Korea, Japan, Singapore, and Taiwan. This article also investigates whether the volatility spillover effect increased after the 1997 Asian financial crisis. There are statistically significant volatility spillover effects within the stock markets of these countries and that effect dramatically increased after the 1997 Asian financial crisis. Especially, the regionally close five countries Hong Kong, South Korea, Japan, Singapore, and Taiwan experienced more links among them.

Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets

Author : Y. Angela Liu
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets by : Y. Angela Liu

Download or read book Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets written by Y. Angela Liu and published by . This book was released on 2016 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand. The empirical results from examining the data for the period of 1984 to 1991 suggest that the U.S. market is more influential than the Japanese market in transmitting returns and volatilities to the four Asian markets. In addition, the observed spillover effects are unstable over time in the sense that the spillovers increase substantially after the October 1987 stock market crash. Furthermore, the evidence indicates that while the cross-country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility, the market contagion also plays an important role in the transmission mechanism.

Volatility Spillover Between the US, Chinese and Australian Stock Markets

Author : Emawtee Bissoondoyal-Bheenick
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Volatility Spillover Between the US, Chinese and Australian Stock Markets by : Emawtee Bissoondoyal-Bheenick

Download or read book Volatility Spillover Between the US, Chinese and Australian Stock Markets written by Emawtee Bissoondoyal-Bheenick and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the stock market volatility spillover between three closely related countries, United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one way volatility spillover from US to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the GFC, we find significant bilateral relationship across all of the industries across the three countries.

Price and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan

Author : Ping Wang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Price and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan by : Ping Wang

Download or read book Price and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan written by Ping Wang and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.

Return and Volatility Spillovers Among the East Asian Equity Markets

Author : Kamil Yılmaz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (837 download)

DOWNLOAD NOW!

Book Synopsis Return and Volatility Spillovers Among the East Asian Equity Markets by : Kamil Yılmaz

Download or read book Return and Volatility Spillovers Among the East Asian Equity Markets written by Kamil Yılmaz and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes. Using the forecast error variance decomposition from a vector autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences significant bursts during major market crises, including the East Asian crisis. The fact that both return and volatility spillover indices reached their respective peaks during the current global financial crisis attests to the severity of the current episode. -- Stock returns ; Volatility ; Spillovers ; Vector autoregression ; Variance decomposition

Price and Volatility Spillovers between Greater China and Japan and Us Markets

Author : Ping Wang
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Price and Volatility Spillovers between Greater China and Japan and Us Markets by : Ping Wang

Download or read book Price and Volatility Spillovers between Greater China and Japan and Us Markets written by Ping Wang and published by . This book was released on 2008 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The conjecture that developed markets dominate emerging markets in stock market interactions is questioned - such asymmetric dominance of developed markets over developing markets does not show up in the present study where the developing market of China is of a comparable size in relation to the developed markets of Japan and the US. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.

Does Financial Connectedness Predict Crises?

Author : Ms.Camelia Minoiu
Publisher : International Monetary Fund
ISBN 13 : 1475554257
Total Pages : 44 pages
Book Rating : 4.4/5 (755 download)

DOWNLOAD NOW!

Book Synopsis Does Financial Connectedness Predict Crises? by : Ms.Camelia Minoiu

Download or read book Does Financial Connectedness Predict Crises? written by Ms.Camelia Minoiu and published by International Monetary Fund. This book was released on 2013-12-24 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in the global network of financial linkages to predict systemic banking crises. Our results indicate that increases in a country's financial interconnectedness and decreases in its neighbors' connectedness are associated with a higher probability of banking crises after controlling for macroeconomic fundamentals.

Correlations in Price Changes and Volatility Across International Stock Markets

Author : Yasushi Hamao
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Correlations in Price Changes and Volatility Across International Stock Markets by : Yasushi Hamao

Download or read book Correlations in Price Changes and Volatility Across International Stock Markets written by Yasushi Hamao and published by . This book was released on 2006 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally heteroskedastic (ARCH family of statistical models to explore these pricing relationships. Evidence of price volatility spillovers from New York to Tokyo, London to Tokyo, and New, York to London is observed but no price volatility spillover effects in other directions are found for the pre-October 1987 period.

Transmission of Volatility Across Asia-Pacific Stock Markets

Author : Amarnath Mitra
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Transmission of Volatility Across Asia-Pacific Stock Markets by : Amarnath Mitra

Download or read book Transmission of Volatility Across Asia-Pacific Stock Markets written by Amarnath Mitra and published by . This book was released on 2015 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: In finance literature, volatility is synonymous with the measure of risk. Spillover of volatility refers to the transmission of disturbances or shock from one market to another and has direct consequence on resource allocation, risk hedging, and even, monetary policies. Spillover between stock markets has been the subject of study since 1990s where researchers have studied the nature of time-varying correlations between international stock markets. Extant literature substantiates the fact that volatility spillover between international stock markets happens at all times and that developed nations, particularly the US, is the major source of spillover. However, studies involving emerging markets, specifically in the Asia-Pacific region is scarce. Moreover, a clear understanding regarding the pattern of volatility transmission across international stock markets is lacking. The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a span of 20 years, which include both crises (i.e. contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follow a pattern. Our study contributes to the literature in two ways: (1) It provides a historical map of volatility transmission in the Asia-Pacific region; and (2) this study identifies the path and pattern of volatility spillover across Asia-Pacific stock markets.

Examining Mean-Volatility Spillovers Across National Stock Markets

Author : Vinodh K. Natarajan
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Examining Mean-Volatility Spillovers Across National Stock Markets by : Vinodh K. Natarajan

Download or read book Examining Mean-Volatility Spillovers Across National Stock Markets written by Vinodh K. Natarajan and published by . This book was released on 2014 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of the stock market in a country and the understanding of the influence of stock market crashes within and across the markets has been the subject matter of many researches, academicians and analysts during recent times. In this study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover effects using the GARCH in Mean model for the period January 2002 to December 2011. The GARCH-M model seeks to provide useful insights into how information is transmitted and disseminated across stock markets. In particular, the model examines the precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong mean and volatility spillover across some stock exchanges.

Volatility Spillover Between the Chinese and Australian Stock Markets

Author : Wei Chi
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Volatility Spillover Between the Chinese and Australian Stock Markets by : Wei Chi

Download or read book Volatility Spillover Between the Chinese and Australian Stock Markets written by Wei Chi and published by . This book was released on 2015 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the increasingly tight economic relationship between China and Australia, little attention has been paid to the analysis of stock market volatility spillover across these two countries. This paper, based on industry data, fills the gap in the literature and provides a clear idea of the channels through which volatility is transmitted across countries. This paper finds that the volatility spillover across these two markets is bidirectional while there is single or insignificant spillover across industries between these two countries. More specifically, the results of the Granger causality test show that the stock market volatility spillover is bidirectional between these two markets in the financial, health care, industrials, information technology, and materials industries. One-way volatility spillover exists in the consumer staples industry and there is insignificant volatility spillover in the energy, telecommunications, and utilities industries between the Chinese and Australian stock markets.