کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069644 1476987 2016 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators
ترجمه فارسی عنوان
تضعیف نوسانات در آینده آتی شاخص سهام در بازارهای آسیا: شواهد از برآوردگرهای متغیر نوسان
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- This study investigates volatility spillovers patterns across 6 stock markets in Asia.
- Our results are based on stock index futures data and 3 different range volatility estimators.
- Asian stock index futures markets are sensitive to both negative and positive volatility shocks.
- Our findings reveal the asymmetric nature of volatility transmission channels.
- The analysed markets may have both destabilizing and stabilizing effects on other markets.

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 17, May 2016, Pages 158-166
نویسندگان
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