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Volatility transmission in global financial markets


Clements, AE and Hurn, AS and Volkov, V, Volatility transmission in global financial markets, Journal of Empirical Finance, 32 pp. 3-18. ISSN 0927-5398 (2015) [Refereed Article]

Copyright Statement

2015 Elsevier B.V.

DOI: doi:10.1016/j.jempfin.2014.12.002


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 jump activity is only important within the equity markets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.

Item Details

Item Type:Refereed Article
Keywords:GARCH, Realised volatility, Asymmetry, Jumps, Volatility transmission
Research Division:Economics
Research Group:Applied economics
Research Field:Macroeconomics (incl. monetary and fiscal theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary policy
UTAS Author:Volkov, V (Mr Vladimir Volkov)
ID Code:112269
Year Published:2015
Web of Science® Times Cited:27
Deposited By:TSBE
Deposited On:2016-11-01
Last Modified:2018-04-05

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