This paper employs a modified multivariate GARCH model to test for cross-country mean and volatility transmission among … higher in Latin America. There is evidence of significant leverage effects and volatility persistence and, in the cases of …

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 …

The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and … outbreak on the transmission of volatility among Moroccan banks listed in the Moroccan stock market. The data sample frequency … volatility spillover index increased during the pandemic crisis. We also found varying degrees of interdependence and spillover …

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 …

(2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK …, and Japan. The investigation pays careful attention to volatility transmissions between stock returns and interest rates … causality is observed, the volatility spillover from interest rates to stock markets are more prominent for the full-sample, as …

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …

(ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. -- Contagion ; Herd …