Shift-volatility transmission in East Asian equity markets: new indicators

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

Post-Print from HAL

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 propose several indicators that are 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: Finance general; Macroeconomics; Monetary Economics; Financial Economics; Quantitative Finance (search for similar items in EconPapers)
Date: 2014-06
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Published in Market Microstructure and Nonlinear Dynamics, Springer, 2014, 978-3-319-05211-3. ⟨10.1007/978-3-319-05212-0_10⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:hal:journl:hal-01410782

DOI: 10.1007/978-3-319-05212-0_10

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().