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Common trends in global volatility
journal contribution
posted on 2023-05-18, 23:21 authored by Clements, AE, Hurn, AS, Vladimir VolkovVladimir VolkovThis paper considers the transmission of volatility in global foreign exchange, equity and bond markets. Using a multivariate GARCH framework which includes measures of realised volatility as explanatory variables, significant volatility and news spillovers are found to occur on the same trading day between Japan, Europe, and the United States. All markets exhibit significant degrees of asymmetry in terms of the transmission of volatility associated with good and bad news. There are also strong links between diffusive volatilities in all three markets, whereas jump activity is only important within the equity markets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.
History
Publication title
Journal of International Money and FinanceVolume
67Pagination
194-214ISSN
0261-5606Department/School
TSBEPublisher
Elsevier Sci LtdPlace of publication
The Boulevard, Langford Lane, Kidlington, Oxford, England, Oxon, Ox5 1GbRights statement
Copyright 2016 Elsevier Ltd.Repository Status
- Restricted