| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089776 | Journal of Banking & Finance | 2012 | 14 Pages |
Abstract
⺠We study the effect of news on implied volatility spillovers across stock markets. ⺠We find that volatility spillovers exist. ⺠Scheduled (unscheduled) news resolve (create) information uncertainty. ⺠News releases affect the magnitude of volatility spillovers. ⺠Results are robust to extreme market events and imply volatility contagion.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
George J. Jiang, Eirini Konstantinidi, George Skiadopoulos,