Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators

Larisa Yarovaya, Janusz Brzeszczynski and Chi Keung Lau

Finance Research Letters, 2016, vol. 17, issue C, 158-166

Abstract: This paper investigates the channels of volatility transmission across stock index futures in 6 major developed and emerging markets in Asia. We analyse whether the popular volatility spillovers tests are susceptible to the choice of range volatility estimators. Our results demonstrate strong linkages between markets within the Asian region, indicating that the signal receiving markets are sensitive to both negative and positive volatility shocks, which reveals the asymmetric nature of volatility transmission channels. We find that some markets play a destabilizing role while other countries - contrary to popular belief - have a stabilizing effect on other markets in Asia.

Keywords: Stock markets; Volatility spillovers; Range volatility estimators; Asian markets (search for similar items in EconPapers)
JEL-codes: C18 C51 F36 F65 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (92)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:158-166

DOI: 10.1016/j.frl.2016.03.005

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