Transmission Of Volatility Between Stock Markets

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Transmission of Volatility Between Stock Markets

Author : Mervyn A. King
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (198 download)

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Book Synopsis Transmission of Volatility Between Stock Markets by : Mervyn A. King

Download or read book Transmission of Volatility Between Stock Markets written by Mervyn A. King and published by . This book was released on 1989 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that "contagion" between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This provides a channel through which a "mistake" in one market can be transmitted to other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer support for the contagion model. In addition, the magnitude of the contagion coefficients are found to increase with volatility.

Transmission of Volatility between Stock Markets

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

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Book Synopsis Transmission of Volatility between Stock Markets by : Mervyn King

Download or read book Transmission of Volatility between Stock Markets written by Mervyn King and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that quot;contagionquot; between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This provides a channel through which a quot;mistakequot; in one market can be transmitted to other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer support for the contagion model. In addition, the magnitude of the contagion coefficients are found to increase with volatility.

Volatility Transmission between the Oil and Stock Markets

Author : Fidel Farias
Publisher : GRIN Verlag
ISBN 13 : 3668256152
Total Pages : 108 pages
Book Rating : 4.6/5 (682 download)

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Book Synopsis Volatility Transmission between the Oil and Stock Markets by : Fidel Farias

Download or read book Volatility Transmission between the Oil and Stock Markets written by Fidel Farias and published by GRIN Verlag. This book was released on 2016-07-11 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 2010 in the subject Economics - Finance, grade: 1,3, University of Potsdam (Makroökonomische Theorie und Politik), language: English, abstract: Besonders in jüngster Zeit kommt der Analyse von Ölpreisvolatilität aus volkswirtschaftlicher Sicht eine bedeutende Rolle zu. Gegenwärtig werden bestimmte Rohstoffe wie Rohöl als relevante Anlageinstrumenten von Investoren benutzt, um sich gegen Risiken an den Finanzmärkten abzusichern. Diese Diplomarbeit beschäftigt sich mit der Berechnung von Ölpreisvolatilität in der Zeitperiode von Januar 2002 bis Juli 2009. Dabei werden Berechnungen von Ölpreisvolatilität während der Finanzkrise im Jahre 2008 untersucht. Diese Finanzkrise hat sich tiefgreifend auf die Entwicklung der Preise von Kapital- und Finanzgütern ausgewirkt. Dabei weisen die exzessiven gemessenen Werte von Preisvolatilität während der Finanzkrise auf eine strukturelle Veränderung der Preisbildung von Kapital- und Finanzgütern an den Kapital- und Finanzmärkten hin. Interessanterweise lassen sich bei der Analyse von Ölpreisvolatilität bedeutende Fakten feststellen, deren Existenz die gegenwärtig verwendeten statistischen Modelle, die sich mit der Messung von Preisvolatilität befassen, in künftigen Arbeiten komplementieren könnten. Im Rahmen dieser Diplomarbeit werden fünf wichtige statistische Modelle analysiert: ARCH, GARCH, BEKK-GARCH und Markov-switching Modell. Dazu wird aus den Ölpreisdaten der letzten 8 Jahre die tägliche Preisvolatilität berechnet, um mögliche Relationen zwischen der Volatilität am Ölmarkt und der Volatilität am Finanzmarkt zu untersuchen. Dabei werden diese implementierten Verfahren auf ihre Gültigkeit in Berechnung und Vorhersage von plötzlichen Preisveränderungen untersucht. Insbesondere wird darauf eingegangen unter welchen Bedingungen die Verfahrensergebnisse als zuverlässig gelten. Diese Diplomarbeit wurde im Rahmen eines Forschungspraktikums bei der Organisation erdölexportierender Länder (OPEC) in Wien, Österreich unter Betreuung des Lehrstuhls für Wirtschaftstheorie der Universität Potsdam, fertiggestellt

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)

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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.

Volatility Transmission Between International Stock Markets

Author : Universitat de València. Departament d'Economia Financera i Actuarial
Publisher :
ISBN 13 :
Total Pages : 177 pages
Book Rating : 4.:/5 (92 download)

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Book Synopsis Volatility Transmission Between International Stock Markets by : Universitat de València. Departament d'Economia Financera i Actuarial

Download or read book Volatility Transmission Between International Stock Markets written by Universitat de València. Departament d'Economia Financera i Actuarial and published by . This book was released on 2007 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Transmission of Volatility Across Asia-Pacific Stock Markets

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

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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.

Volatility Transmission Between US and Latin American Stock Markets

Author : Laura Cardona
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Volatility Transmission Between US and Latin American Stock Markets by : Laura Cardona

Download or read book Volatility Transmission Between US and Latin American Stock Markets written by Laura Cardona and published by . This book was released on 2016 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction. Testing the hypothesis of decoupling between US and Brazil and Mexico the evidence goes against it: the conditional correlations between US and the two emerging markets have steadily increased over the sample period and the volatility transmission have become more significant from 2003 onwards. We also find some evidence on the leadership of Brazil in the region, being the only Latin American stock market consistently transmitting volatility to US.

The Dynamic Mechanisms of Volatility Transmission Among National Stock Markets

Author : Kostas Giannopoulos
Publisher :
ISBN 13 : 9781859190920
Total Pages : 39 pages
Book Rating : 4.1/5 (99 download)

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Book Synopsis The Dynamic Mechanisms of Volatility Transmission Among National Stock Markets by : Kostas Giannopoulos

Download or read book The Dynamic Mechanisms of Volatility Transmission Among National Stock Markets written by Kostas Giannopoulos and published by . This book was released on 1996 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Author : John Beirne
Publisher : INTERNATIONAL MONETARY FUND
ISBN 13 : 9781451871449
Total Pages : 40 pages
Book Rating : 4.8/5 (714 download)

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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.

Integration and the Asymmetric Transmission of Volatility

Author : Bruce Allen Hearn
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Integration and the Asymmetric Transmission of Volatility by : Bruce Allen Hearn

Download or read book Integration and the Asymmetric Transmission of Volatility written by Bruce Allen Hearn and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Considerable attention has been given to market integration and volatility transmission between national stock markets, although this has previously been confined to OECD countries or emerging markets in Latin America and Asia-Pacific. Using a new and comprehensive dataset, this paper finds evidence of volatility transmission between ten rival markets in SSA, noting that this volatility is intrinsically asymmetric. Extensive spillovers are found across these markets, some uni-directional and others bilateral. However, continued illiquidity, incomplete institutions and low levels of domestic participation indicate that an integrated financial community remains premature, and considerable regulatory reform and harmonisation will be necessary before this can be achieved.

NAFTA Stock Markets

Author : Giorgio Canarella
Publisher :
ISBN 13 : 9781608764983
Total Pages : 0 pages
Book Rating : 4.7/5 (649 download)

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Book Synopsis NAFTA Stock Markets by : Giorgio Canarella

Download or read book NAFTA Stock Markets written by Giorgio Canarella and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in the North American Free Trade Area (NAFTA) -- Canada, Mexico, and the US. Our examination of interactions of the NAFTA stock markets considers three issues. First, the authors examine the long-run relationship between the three markets, using cointegration techniques. Second, they evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, they explore the volatility transmission process between the three markets, using a multivariate generalised auto-regressive conditional heteroskedasticity model. The results exhibit significant volatility transmission between the second moments of the NAFTA stock markets. The magnitude and trend of the conditional correlations indicate that in the last few years, Mexico's stock market exhibited a tendency toward increased integration with the US market. Finally, the authors discuss the evidence that exists on the Peso and Asian financial crises as well as the stock-market crash in the US which has affected the return and volatility time-series relationships.

Volatility Transmission Between the Oil Market and the Financial Market

Author : Fidel Farías
Publisher :
ISBN 13 : 9783981242287
Total Pages : 110 pages
Book Rating : 4.2/5 (422 download)

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Book Synopsis Volatility Transmission Between the Oil Market and the Financial Market by : Fidel Farías

Download or read book Volatility Transmission Between the Oil Market and the Financial Market written by Fidel Farías and published by . This book was released on 2011 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Volatility Models and Their Applications

Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens

Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

Volatility Transmission Between Stock and Exchange-Rate Markets

Author : Fernando Fernández Rodríguez
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Volatility Transmission Between Stock and Exchange-Rate Markets by : Fernando Fernández Rodríguez

Download or read book Volatility Transmission Between Stock and Exchange-Rate Markets written by Fernando Fernández Rodríguez and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.

Influence of Structural Changes in Transmission of Information between Stock Markets

Author : Maria Angeles Fernández Izquierdo
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Influence of Structural Changes in Transmission of Information between Stock Markets by : Maria Angeles Fernández Izquierdo

Download or read book Influence of Structural Changes in Transmission of Information between Stock Markets written by Maria Angeles Fernández Izquierdo and published by . This book was released on 2004 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this study is to analyze the influence that the structural changes on volatility have on the transmission of information. We realized empirical evidence on European stock exchange markets using the principal European stock indexes: UK, Germany, France, Italy and Spain, for European Union and Swiss as European zone no euro. In order to include structural changes in variance, we followed the modification proposed by Sanso et al. (2002) of the methodology put forward by Inclan and Tiao (1994), to take account the problems of kurtosis and heteroskedasticity of the analyzed series. To study the existence of transmission of volatility we have used an asymmetric Bivariate GARCH model, specifically, the time-varying covariance asymmetric BEKK model (Engle and Kroner, 1995). The most outstanding result is the significance of the variables that represent these changes. Their consideration reduces the volatility persistence and influences the scheme of transmission. So structural changes must be incorporated in these types of studies.

Volume Effect, Volatility, and International Transmission Between Stock Markets (In French).

Author : Sanvi Avouyi-Dovi
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Volume Effect, Volatility, and International Transmission Between Stock Markets (In French). by : Sanvi Avouyi-Dovi

Download or read book Volume Effect, Volatility, and International Transmission Between Stock Markets (In French). written by Sanvi Avouyi-Dovi and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using daily data covering the 1988-1995 period, this paper checks the effects of three kinds of determinants on the main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and impact of trading volumes. The non-significance of expected volatility in return equation can be explained by the influence of trading volumes on returns. On the other hand, asymmetric effects (from non-expected return to volatility) are very high, especially for Dow Jones, DAX and Nikkei. International transmission mechanisms are very clear-cut for return equations (in particular, from Dow Jones to other stock market indices), but much more contrasted for volatility equations. The trading volumes have marked effects on all the markets, both in the return and in the volatility equations.

Shock Transmission and Volatility Spillover in Stock and Commodity Markets

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

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Book Synopsis Shock Transmission and Volatility Spillover in Stock and Commodity Markets by : Gulin Vardar

Download or read book Shock Transmission and Volatility Spillover in Stock and Commodity Markets written by Gulin Vardar and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs a VAR-BEKK GARCH model to examine the shock transmission and volatility spillover (STVS) effects among daily stock market indices of the US, UK, France, Germany, Japan, Turkey, China, South Korea, South Africa and India, together with the five major commodity spot price--crude oil, natural gas, platinum, silver and gold--over the period 05 July, 2005 and 14 October, 2016, i.e., covering the pre-crisis, crisis and post global financial crisis periods. In the full period, the primary trend in advanced and emerging countries is the bidirectional STVS effects between stock and the commodity returns. However, the results also illustrate relatively less unilateral STVS effects from the commodity to stock returns, but significant unilateral STVS effects from the stock returns to the commodity returns in advanced and emerging countries. We also find more cases of significant STVS effects between commodity and stock markets in all countries during the crisis and post-crisis periods compared to the pre-crisis period. Therefore, it indicates that STVS effects are the new normal for stock and commodity markets, despite the efforts of central banks during post-global crisis period. In practical terms, our findings suggest that resource allocation decision between stocks and commodities should involve the analysis of the direction of the STVS effects in particular stock/commodity markets and cycles of the global economy.