Volatility Spillovers Across Stock Index Futures in Asian Markets: Evidence from Range Volatility Estimators

Yarovaya, Larisa, Brzeszczynski, Janusz and Lau, Marco Chi Keung (2016) Volatility Spillovers Across Stock Index Futures in Asian Markets: Evidence from Range Volatility Estimators. Finance Research Letters, 17. pp. 158-166. ISSN 1544-6123

Metadata only available from this repository.

Abstract

This paper investigates the channels of volatility transmission across stock index futures in 6 major developed and emerging markets in Asia. We analyse whether the popular volatility spillovers tests are susceptible to the choice of range volatility estimators. Our results demonstrate strong linkages between markets within the Asian region, indicating that the signal receiving markets are sensitive to both negative and positive volatility shocks, which reveals the asymmetric nature of volatility transmission channels. We find that some markets play a destabilizing role while other countries - contrary to popular belief - have a stabilizing effect on other markets in Asia.

Item Type:	Article
Uncontrolled Keywords:	Stock markets; Volatility spillovers; Range volatility estimators; Asian markets
Subjects:	H Social Sciences > HB Economic Theory
Schools:	Huddersfield Business School
Related URLs:	Publisher
Depositing User:	Jonathan Cook
Date Deposited:	14 Nov 2017 14:34
Last Modified:	28 Aug 2021 12:23
URI:	http://eprints.hud.ac.uk/id/eprint/33893

Downloads

Repository Staff Only: item control page

View Item