Volatility transmission in global financial markets
This paper considers the transmission of volatility in global foreign exchange, equity and bond markets. Using a multivariate GARCH framework which includes measures of realised volatility as explanatory variables, significant volatility and news spillovers are found to occur on the same trading day between Japan, Europe, and the United States. All markets exhibit significant degrees of asymmetry in terms of the transmission of volatility associated with good and bad news. There are also strong links between diffusive volatilities in all three markets, whereas jumpactivity is only importantwithin the equitymarkets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.
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|Item Type:||Journal Article|
|Keywords:||GARCH, Realised Volatility, Asymmetry, Jumps, Volatility transmission|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2015 Elsevier B.V.|
|Deposited On:||28 Oct 2015 00:44|
|Last Modified:||07 Sep 2016 00:58|
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