Global equity market leadership positions through implied volatility measures

A.M. Parhizgari and Chaiyuth Padungsaksawasdi

Journal of Empirical Finance, 2021, vol. 61, issue C, 180-205

Abstract: Using unique minute-by-minute data on six major country implied volatility series, we examine the spillovers and the leadership positions of the global stock exchanges through measuring and assigning the contributions of innovations among their implied volatilities. The entire analyses are performed on synchronized transactions. A hybrid leadership methodology that is computationally efficient is employed. In nearly all cases, the findings indicate a clear relative leadership position for one or more exchanges. These, in turn, provide important insights into the operations of the markets and convey the dynamic process among them. We also address the transmission mechanism and volatility efficiency.

Keywords: Global implied volatility; Global market leadership; Global spillover; Global market securities information; Channels of volatility transmission (search for similar items in EconPapers)
JEL-codes: C58 F36 G14 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205

DOI: 10.1016/j.jempfin.2021.01.001

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