 Jump Interdependencies: Stochastic linkages among international stock marketsSaranya Kshatriya and Krishna Prasanna The North American Journal of Economics and Finance, 2021, vol. 57, issue C Abstract: This study investigates the volatily jump contagion among the Asian, European (Germany, UK, & France) and US markets. In particular, it examines the stochastic linkages among the international stock markets and analyzes the self and cross-excitation of jumps. The discontinuities in the stochastic volatility of each market are identified and their structural inter-dependencies are analyzed. Our empirical results imply that negative jumps from the USA and Europe are transmitted to the domestic Asian markets, while positive jumps are majorly from the regional markets. Results also imply that the cross-market linkages vary with respect to markets and regimes. Our results have implications for risk management, investment and hedging decisions. Keywords: Jump Contagion; Self Excitation and Cross-Excitation; Stochastic Volatility; Wavelet Decomposition; Threshold Auto Regression (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528 DOI: 10.1016/j.najef.2021.101418 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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