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Networks of volatility spillovers among stock markets

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Persistent link: https://www.econbiz.de/10011654569

Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets

Palanska, Tereza - 2018

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on realized measures and forecast error variance decomposition invariant to the variable ordering from vector-autoregressions. This enables us to measure total, directional and net...

Persistent link: https://www.econbiz.de/10011914776

The Nature of Volatility Spillovers across the International Capital Markets

Peralta, Gustavo - 2016

This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

Persistent link: https://www.econbiz.de/10012995260

Risk and Return Spillovers Among the G10 Currencies

Greenwood-Nimmo, Matthew - 2016

We study spillovers among daily returns and innovations in option-implied risk-neutral volatility and skewness of the G10 currencies. An empirical network model uncovers substantial time variation in the interaction of risk measures and returns, both within and between currencies. We find that...

Persistent link: https://www.econbiz.de/10012999212

Higher-Order Risk Premium and Return Spillovers between Commodity and Stock Markets

Finta, Marinela Adriana - 2023

This study examines the spillovers between risk premia and returns of commodity (grain, metal, and energy sectors) and equity markets (the U.S., U.K., Germany, and Japan). Risk premia are defined as the difference between implied volatility, skewness, and kurtosis and their realized moments. Our...

Persistent link: https://www.econbiz.de/10014258190

Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016

The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...

Persistent link: https://www.econbiz.de/10011441709

Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18

Through the application of the VAR-AGARCH model to intra-day data for three cryp-tocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period. We also estimate the...

Persistent link: https://www.econbiz.de/10012317582

Extreme-Downside-Risk Spillover from the United States and Japan to Asian-Pacific Stock Markets

Liu, Lu - 2018

This paper proposes a probit approach to measure and forecast extreme downside risks in Asian Pacific markets given information on extreme negative shocks in the U.S. and Japanese markets. The extreme downside risk of a market is measured as the occurrence of market returns falling below...

Persistent link: https://www.econbiz.de/10012940445

Time Varying Herding and Anti-Herding Behavior and Dynamic Conditional Correlations in European Market Indices

Stavroyiannis, Stavros - 2013

We examine the existence of herding and anti-herding (positive herding) behavior in major European benchmarking stock … evidence confirms a herding behavior during the global financial crisis for the South countries, and anti-herding behavior for … both North and South subsets before and after the shock, independent of the window size. The herding and anti-herding …

Persistent link: https://www.econbiz.de/10013078646

Herding Behavior and Systemic Risk in Global Stock Markets

Vioto, Davide; Tunaru, Radu; Hasan, Iftekhar - 2022

This paper provides new evidence of herding in global equity markets. Using quantile regressions applied to daily data … for 33 countries, we investigate herding during the Eurozone crisis, China's market crash in 2015-2016, and in the … aftermath of the Brexit vote. We find significant evidence of herding behavior driven by negative tail market conditions for …

Persistent link: https://www.econbiz.de/10013295491