Historical volatility of advanced equity markets: The role of local and global crises

Samrat Goswami, Rangan Gupta and Mark Wohar

Finance Research Letters, 2020, vol. 34, issue C

Abstract: We use a nonparametric quantiles-based model to analyse the predictability of long-spans (nearly or over one century) of annual volatility of Canada, France, Germany, Italy, Japan, Switzerland, the United Kingdom (UK) and the United States (US), based on information contained in domestic (banking, currency, inflation, sovereign debt, and stock market) and global crises. We find that, in general, global crises tends to have a stronger causal impact on market volatility than domestic crises, but domestic stock market crashes also play an important role in explaining equity market volatility of Germany, the UK and the US. Interestingly, extreme ends of the conditional distribution of market volatility cannot be predicted, irrespective of whether domestic or global crises are used as predictors.

Keywords: Realized volatility; Domestic and global crises; Causality-in-quantiles; Advanced economies (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319303617
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303617

DOI: 10.1016/j.frl.2019.08.013

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().