Shift-Volatility Transmission in East Asian Equity Markets

Marcel Aloy, Gilles de Truchis, Gilles Dufrénot () and Benjamin Keddad ()

No 1402, AMSE Working Papers from Aix-Marseille School of Economics, France

Abstract: This paper attempts to provide evidence of “shift-volatility” transmission in the East Asian equity markets. By shift-volatility, we mean the volatility shifts from a low level to a high level, corresponding respectively to tranquil and crisis periods. We examine the interdependence of equity volatilities between Hong-Kong, Indonesia, Japan, Malaysia, the Philippines, Singapore, Thailand and the United States. Our main issue is whether shift-volatility needs to be considered as a regional phenomenon, or from a more global perspective. We find that the timing/spans of high volatility regimes correspond adequately to years historically documented as those of crises (the Asian crisis and the years following the 2008 crisis). Moreover, we suggest different indicators that could be useful to guide the investors in their arbitrage behavior in the different regimes: the duration of each state, the sensitivity of the volatility in a market following a change in the volatility in another market. Finally, we are able to identify which market can be considered as leading markets in terms of volatility.

Keywords: Regime shifts; Equity Volatility; East Asia; TVPMS (search for similar items in EconPapers)
JEL-codes: C32 G15 R31 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2014-03, Revised 2014-03
New Economics Papers: this item is included in nep-fmk and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Shift-Volatility Transmission in East Asian Equity Markets (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:aim:wpaimx:1402

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