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Author: Lieven Baele Publisher: ISBN: Category : Languages : en Pages : 54
Book Description
This paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on the case of Western Europe, as this region has gone through a unique period of economic, financial, and monetary integration. More specifically, I quantify the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets. To account for time-varying integration, I allow the shock sensitivities to change through time by means of a regime-switching model. I find that these regime switches are both statistically and economically important. While both the EU and US shock spillover intensity has increased over the 1980s and 1990s, the rise is more pronounced for EU spillovers. In most countries, shock spillover intensities increased most strongly in the second half of 1980s and the first half of the 1990s. Increased trade integration, equity market development, and low inflation are shown to have contributed to the increase in EU shock spillover intensity. Finally, I find some evidence for contagion from the US market to a number of local European equity markets during periods of high world market volatility. Keywords: Volatility Spillovers, Regime Switching, Contagion, EMU, Financial Integration.
Author: Lieven Baele Publisher: ISBN: Category : Languages : en Pages : 54
Book Description
This paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on the case of Western Europe, as this region has gone through a unique period of economic, financial, and monetary integration. More specifically, I quantify the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets. To account for time-varying integration, I allow the shock sensitivities to change through time by means of a regime-switching model. I find that these regime switches are both statistically and economically important. While both the EU and US shock spillover intensity has increased over the 1980s and 1990s, the rise is more pronounced for EU spillovers. In most countries, shock spillover intensities increased most strongly in the second half of 1980s and the first half of the 1990s. Increased trade integration, equity market development, and low inflation are shown to have contributed to the increase in EU shock spillover intensity. Finally, I find some evidence for contagion from the US market to a number of local European equity markets during periods of high world market volatility. Keywords: Volatility Spillovers, Regime Switching, Contagion, EMU, Financial Integration.
Author: Cesario Mateus Publisher: ISBN: Category : Languages : en Pages : 55
Book Description
This paper investigates the existence of financial contagion between the US and ten European stock markets. Using intraday minute-per-minute data of a large set of 374 equities from three different industries, over the period from January to June 2011, we investigate the impact of increased volatility in the US on the inter-country industry-level spillover effect. Self-built industry indices are used, which allows the implementation of the same index methodology across different markets. We first show that the spillover of asset price volatility from the US to European markets does exist; the greatest spike in the volatility in the target markets is observed in the first minute, and is absorbed in the first five minutes after the volatility increase. Second, we can state that euro-denominated markets amplify the spillover effect of volatility from the US market. Third, we provide evidence of the industry heterogeneity of the spillover effects, and claim that an analysis of financial contagion across different industries is desirable, using industry indices instead of global market indices.
Author: Abdulla Alikhanov Publisher: LAP Lambert Academic Publishing ISBN: 9783659504761 Category : Languages : en Pages : 76
Book Description
The paper investigates the mean and volatility spillover effects from U.S and EU stock markets as well as oil price market into national stock markets of eight European countries. The study finds strong indication of volatility spillover effects from global US, regional EU, and world factor oil towards individual stock markets.. To evaluate the volatility spillovers, the variance ratios are computed and the results draw to attention that the individual emerging countries' stock returns are mostly influenced by the U.S volatility spillovers rather than the EU or oil markets. The weak evidence of asymmetric effects with respect to oil market shocks is found only in the case of Russia and the quantified variance ratios indicate that presence of oil market shocks are relatively higher for Russia. Moreover, a model with dummy variable confirms the effect of European Union enlargement on stock returns only for Romania. Finally, a conditional model suggests that the spillover effects are partially explained by instrumental macroeconomic variables, out of which exchange rate fluctuations play a key role in explaining the spillover parameters.
Author: Charlotte Christiansen Publisher: ISBN: Category : Languages : en Pages : 33
Book Description
The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatility spillover is analyzed simultaneously. A new model belonging to the quot;volatility-spilloverquot; class is suggested: The conditional variance of e.g. the unexpected German stock return is divided into separate effects from US bonds, US stocks, European bonds, European stocks, German bonds, and German stocks. Significant volatility spillover effects are found. The national bond (stock) volatilities are mainly influenced by bond (stock) effects. After the introduction of the euro the European markets have become more integrated; bond markets more so than stock markets.
Author: John Beirne Publisher: ISBN: Category : Stock exchanges Languages : en Pages : 42
Book Description
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: George Milunovich Publisher: ISBN: 9781741381337 Category : Forecasting Languages : en Pages : 31
Book Description
We measure the reduction in realized portfolio risk that can be achieved by allowing for volatility spillover in forecasts of equity covariance. The conditional second moment matrix of equity returns for pairs of major European equity markets is estimated via two asymmetric dynamic conditional correlation models (A-DCC): the unrestricted model includes volatility spillover effects and the restricted model does not. Data are daily returns on the London, Frankfurt and Paris equity market price indices synchronized at London 16:00 time. Covariance forecasts from the restricted and unrestricted models are combined with assumed expected returns to compute efficient three-asset portfolios (two equity indices and the risk-free asset). The impact of expected return choice on out-of-sample portfolio efficiency is minimized via the polar co-ordinates method of Engel and Colacito (2004), which allows expected equity returns to span all relatives. Out-of-sample realized portfolio returns and variances from efficient portfolios are computed and tested. Allowing for volatility spillover effects produces small, statistically significant.
Author: Nicholas Apergis Publisher: ISBN: Category : Languages : en Pages :
Book Description
We investigate cross-market volatility spillover effects across New York and London foreign exchange and equity markets. By using several daily data-sets, each relating to a different time of the day, and the generalized autoregressive conditional heteroscedasticity approach, the empirical analysis found volatility spillover effects (meteor shower effects) from the foreign exchange market in London and New York to the equity market in New York and London, respectively. By contrast, the results did not show volatility spillover effects from the equity markets to the foreign exchange markets across New York and London. Copyright 2001 by Blackwell Publishers Ltd and The Victoria University of Manchester.
Author: Konstantin Asaturov Publisher: ISBN: Category : Languages : en Pages : 19
Book Description
Previous research has proven that large financial markets can be prime determinants of volatility in smaller markets. This paper seeks to examine in a broader sense the linkages between developed and emerging financial markets. More specifically, we examine the relationship between two greatest emerging markets of Eastern Europe, Russia and Poland and their role in transmitting financial volatility. Utilizing bivariate DCC-GARCH modeling, we estimate volatility spillover effects and dynamic conditional correlation between equity markets in South and North America, the US and European markets. Our results show that the US market (S&P500 index) is the main volatility transmitter worldwide, whereas the UK, German and French markets are the sources of volatility for the European developed and emerging European equity markets. However, the German DAX index, contrary to some studies, cannot be considered as dominant in the European region, in spite of the leadership of the German economy. According to the results of our study the role of volatility transmitter belongs to the UK stock market. More importantly, we find that the influence of Russian market volatility exceeds the influence of Poland in the Eastern and Northern European regions, closely tracking their levels of market capitalization.
Author: John Beirne Publisher: INTERNATIONAL MONETARY FUND ISBN: 9781451871449 Category : Languages : en Pages : 40
Book Description
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: Lieven Baele
Author: Lieven Baele
Author: Cesario Mateus
Author: Caitriona O'Brien
Author: Abdulla Alikhanov
Author: Charlotte Christiansen
Author: John Beirne
Author: George Milunovich
Author: Nicholas Apergis
Author: Konstantin Asaturov
Author: John Beirne