کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5075350 1373900 2014 38 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility linkage across global equity markets
ترجمه فارسی عنوان
پیوستگی نوسان در بازارهای سهام جهانی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی
This paper analyzes the volatility linkage across the U.S., European, German, Japanese, and Swiss equity markets from 1999 to 2009. Both the unconditional and conditional correlations exhibit large fluctuations during the sample period. The results from the VAR analysis show an asymmetric two-way relation between the VIX and other market volatility indices, in which VIX has a larger impact in both the tranquil and crisis times. The structure of the volatility correlation before and during the recent global financial crisis does not show significant changes. In addition, robust test results from realized volatilities confirm the results from implied volatility indices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Global Finance Journal - Volume 25, Issue 2, 2014, Pages 71-89
نویسندگان
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