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Common trends in global volatility

Citation

Clements, AE and Hurn, AS and Volkov, V, Common trends in global volatility, Journal of International Money and Finance, 67 pp. 194-214. ISSN 0261-5606 (2016) [Refereed Article]

Copyright Statement

Copyright 2016 Elsevier Ltd.

DOI: doi:10.1016/j.jimonfin.2016.05.001

Abstract

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
Author:Volkov, V (Mr Vladimir Volkov)
ID Code:112270
Year Published:2016
Deposited By:Tasmanian School of Business and Economics
Deposited On:2016-11-01
Last Modified:2016-12-08
Downloads:0

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