Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises

Samrat Goswami (), Rangan Gupta and Mark Wohar ()
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Samrat Goswami: Department of Rural Studies, Tripura University, Suryamaninagar, Tripura, 799022, India.

No 201931, Working Papers from University of Pretoria, Department of Economics

Abstract: We use a nonparametric quantiles-based model to analyse the predictability of long-spans (nearly or over one century) of annual volatility of Canada, France, Germany, Italy, Japan, Switzerland, the United Kingdom (UK) and the United States (US), based on information contained in domestic (banking, currency, inflation, sovereign debt, and stock market) and global crises. We find that, in general, global crises tends to have a stronger causal impact on market volatility than domestic crises, but domestic stock market crashes also plays an important role in explaining equity market volatility of Germany, the UK and the US. Interestingly, extreme ends of the conditional distribution of market volatility cannot be predicted, irrespective of whether domestic or global crises are used as predictors.

Keywords: Realized Volatility; Domestic and Global Crises; Causality-in-Quantiles; Advanced Economies (search for similar items in EconPapers)
JEL-codes: C22 G10 G15 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2019-04
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Journal Article: Historical volatility of advanced equity markets: The role of local and global crises (2020)
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