Volatility transmission in global financial markets
Description
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.
Impact and interest:
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| ID Code: | 89590 | ||||
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| Item Type: | Contribution to Journal (Journal Article) | ||||
| Refereed: | Yes | ||||
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| Measurements or Duration: | 16 pages | ||||
| Keywords: | Asymmetry, GARCH, Jumps, Realised Volatility, Volatility transmission | ||||
| DOI: | 10.1016/j.jempfin.2014.12.002 | ||||
| ISSN: | 0927-5398 | ||||
| Pure ID: | 32916280 | ||||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
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| Copyright Owner: | 2015 Elsevier B.V. | ||||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||||
| Deposited On: | 28 Oct 2015 00:44 | ||||
| Last Modified: | 31 Jul 2024 18:01 |
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