This article empirically investigates the volatility spillover of stock returns from the market to disaggregated … from 1973 to 2008. The key findings are two-fold. In the UK, whilst some industries are more sensitive to market volatility … volatility of foreign markets seems to have more impact than the domestic markets on some key industries in the US, suggesting …

This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major … whether cryptocurrency markets have been exposed to extreme volatility. While GARCH family models provide information about … asset returns at given time scales, wavelets capture that information across different frequencies without losing inputs …

Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility … general volatility spillover effect from the derivatives market to the stock market, except for the frequency that covers all … volatility shocks increases. These results indicate that inexperienced investors should be informed about derivatives markets …

returns have a negative relationship with the volatility, and the volatility process responds asymmetrically to shocks to …, within which the returns have a positive relationship with the volatility, and the volatility is lower and more persistent …

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 …

aggregate shocks. Volatility spillovers proved to be small and volatile. …