Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach

Fredj Jawadi, Waël Louhichi and Abdoulkarim Idi Cheffou

Journal of Financial Markets, 2015, vol. 26, issue C, 64-84

Abstract: We investigate the contagion hypothesis between the United States and three European markets (Germany, the United Kingdom, and France). We focus on realized volatility, which we break down into continuous and jump parts, and we test the contagion hypothesis between jumps during overlapping and non-overlapping hours. We find a significant relation between jumps and realized volatility and spillover effects between jumps. The U.S. market plays the leading role during overlapping hours, but regional contagion is more obvious during non-overlapping hours. Interestingly, jump contagion effects exhibit asymmetry and nonlinearity, and vary according to regimes. Accordingly, we improve jump modeling and spillover.

Keywords: Jump contagion effect; Realized volatility; Overlapping and non-overlapping trading hours; Nonparametric test; Threshold autoregressive models (search for similar items in EconPapers)
JEL-codes: C22 G10 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:26:y:2015:i:c:p:64-84

DOI: 10.1016/j.finmar.2015.09.004

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