Structural Breaks In Volatility Spillovers Between International Financial Markets PDF Download
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| Author | : Robert Maderitsch |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Structural Breaks in Volatility Spillovers Between International Financial Markets Book in PDF, ePub and Kindle
This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series for the three markets and employ a Heterogeneous Autoregressive Distributed Lag Model as our baseline econometric specification. Motivated by the presence of various crisis events contained in our sample, we detect time-variation and structural breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding volatilities. Investigating the role of mean breaks and conditional heteroskedasticity in the realized volatilities, however, we find the latter to be the main driver of breaks in volatility spillovers. Taking the volatility of realized volatilities into account, we find no evidence of contagion anymore.
| Author | : Hafiz Rauf Iqbal |
| Publisher | : |
| Total Pages | : 14 |
| Release | : 2020 |
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| ISBN | : |
Download Structural Breaks and Volatility Spillover in South Asian Economies Book in PDF, ePub and Kindle
This study examines the relationship between volatility spillovers in the presence of structural breaks with specific reference to South Asian Capital markets. Global financial crisis of 2007-2009 has compelled policy makers to realize that financial instability has potential to threaten economic stability and growth; therefore, managing financial crisis is inevitable. To manage the impact of financial crises, understanding the dynamics of volatility spillover across various markets is imperative. This study has investigated the possible emergence of structural breaks in risk pattern subsequent to global financial crises in south Asian markets. Using the data from July 2002 to June 2016, employing Exponential GARCH methodology, this study finds the significant volatility spillover subsequent to financial crisis of 2007-09. Therefore, the existence of structural break in risk pattern of south Asian capital markets cannot be fully rejected. This conclusion is of prime importance to policy maker in devising policy guidelines with respect to financial crises.
| Author | : Lucía Morales |
| Publisher | : |
| Total Pages | : |
| Release | : 2011 |
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Download Structural Breaks and Financial Volatility Book in PDF, ePub and Kindle
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research have been found regarding to the BRIC financial markets and the effects of the 2007-2009 World economy crisis. This lack of research might appear as surprising given that energy markets are of particular interest as they are considered a fundamental reference for economic recovery and growth. Therefore, this work aims to address this gap on the literature by looking at the BRIC financial markets and their co-movements with regard to some energy markets (oil, natural gas and electricity) and also to the international pressures that may arise from fluctuations originated in the US stock markets. This research major findings show compelling evidence highlighting the weak integration levels that exist among the Chinese financial markets, energy markets and the US stock market. On the other hand, the Brazilian, Indian and Russian markets are found to be more sensitive to international shocks arisen from US markets and also to energy markets instability, especially with regard to oil market uncertainty. -- BRIC ; Energy Markets ; GARCH ; T-GARCH modeling ; Volatility
| Author | : Ramazan Gençay |
| Publisher | : Elsevier |
| Total Pages | : 383 |
| Release | : 2001-10-12 |
| Genre | : Business & Economics |
| ISBN | : 0080509223 |
Download An Introduction to Wavelets and Other Filtering Methods in Finance and Economics Book in PDF, ePub and Kindle
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
| Author | : John Beirne |
| Publisher | : INTERNATIONAL MONETARY FUND |
| Total Pages | : 40 |
| Release | : 2008-12-01 |
| Genre | : |
| ISBN | : 9781451871449 |
Download Volatility Spillovers and Contagion from Mature to Emerging Stock Markets Book in PDF, ePub and Kindle
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.
| Author | : John Beirne |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2009 |
| Genre | : Stock exchanges |
| ISBN | : |
Download Volatility Spillovers and Contagion from Mature to Emerging Stock Markets Book in PDF, ePub and Kindle
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.
| Author | : Amalia Morales-Zumaquero |
| Publisher | : |
| Total Pages | : 62 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Volatility Spillovers Between Foreign-Exchange and Stock Markets Book in PDF, ePub and Kindle
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.
| Author | : Pardeep Singh |
| Publisher | : |
| Total Pages | : 13 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Volatility Spillover Across Major Equity Markets Book in PDF, ePub and Kindle
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.
| Author | : Evangelos Kyritsis |
| Publisher | : |
| Total Pages | : 51 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download The Zero Lower Bound and Market Spillovers Book in PDF, ePub and Kindle
This paper investigates mean and volatility spillovers between the crude oil market and three financial markets, namely the debt, stock, and foreign exchange markets, while providing international evidence from each of the seven major advanced economies (G7), and the small open oil-exporting economy of Norway. Using monthly data for the period from May 1987 to March 2016, and a four-variable VARMA-GARCH model with a BEKK variance specification, we find significant spillovers and interactions among the markets, but also absence of a hierarchy of influence from one specific market to the others. We further incorporate a structural break to examine the possible effects of the prolonged episode of zero lower bound in the aftermath of the global financial crisis, and provide evidence of strengthened linkages from all the eight international economies.
| Author | : Alok Kumar Mishra |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Volatility Spillover Between Stock and Foreign Exchange Markets Book in PDF, ePub and Kindle
The study of volatility spillovers provides useful insights into how information is transmitted from stock market to foreign exchange market and vice versa. This paper explores volatility spillovers between the Indian stock and foreign exchange markets. The results indicate that there exists a bidirectional volatility spillover between the Indian stock market and the foreign exchange market with the exception of S&P CNX NIFTY and S&P CNX 500. The findings of the study also suggest that both the markets move in tandem with each other and there is a long run relationship between these two markets. The results of significant bidirectional volatility spillover suggest that there is an information flow (transmission) between these two markets and both these markets are integrated with each other. Accordingly, financial managers can obtain more insights in the management of their international portfolio affected by these two variables. This should be particularly important to domestic as well as international investors for hedging and diversifying their portfolio.
