Time varying volatility indices and their determinants: Evidence from developed and emerging stock markets

Nalin Prasad, Andrew Grant and Suk-Joong Kim ()

International Review of Financial Analysis, 2018, vol. 60, issue C, 115-126

Abstract: This paper investigates spillovers across 16 major stock markets utilizing the high frequency data based Realized volatility estimator (Andersen et al., 2003) and the spillover index methodology put forward by Diebold and Yilmaz (2012). We find that spillovers increased dramatically during the 2008 global financial crisis and the European sovereign debt crisis that followed as expected. Differences arise when comparing directional spillovers for individual stock markets. We find that the larger stock markets from the advanced western economies, particularly the US, dominate volatility transmission to other markets. Emerging markets such as China, India and Brazil are still relatively isolated, though their contributions to global volatility spillovers have increased considerably after 2006. We also investigate potential determinants of net spillovers between markets and find that the level of volatility in one market relative to that in other markets is the most important factor in increasing spillovers transmitted. Other important determinants include relative bond yield returns, relative stock market turnover, relative FX market volatility and macroeconomic news indices.

Keywords: Stock market spillovers; Realized volatility; Spillover index; VAR; Volatility transmission (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521918303454
Full text for ScienceDirect subscribers only

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:eee:finana:v:60:y:2018:i:c:p:115-126

DOI: 10.1016/j.irfa.2018.09.006

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().