Jump Interdependencies: Stochastic linkages among international stock markets
Saranya Kshatriya and
The North American Journal of Economics and Finance, 2021, vol. 57, issue C
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)
JEL-codes: G00 G11 G12 G15 G19 G31 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528
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