Title: | Asymmetric volatility connectedness among main international stock markets: A high frequency analysis |
Author(s): | Mensi W. |
Keywords: | Asymmetric spillover; Connectedness; High frequency analysis; Stock market |
Abstract: | This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized volatility and identify the magnitude of the volatility spillover and of the connectedness through networks. We decompose realized volatility into good and bad, and volatility spillover is time-varying and asymmetric. Bad volatility dominates good volatility in international stock markets. Macroeconomic shocks (negative interest rates in Japan, economic stress in China, a recession in Russia, and double-digit inflation in Brazil) increased volatility asymmetry. Asian markets are responsible for stronger negative spillover, thereby necessitating regulations to reduce the strong negative volatility connectedness with Asian markets. © 2020 The Authors |
Issue Date: | 2021 |
Publisher: | Borsa Istanbul Anonim Sirketi |
URI: | http://digital.lib.ueh.edu.vn/handle/UEH/62098 |
DOI: | https://doi.org/10.1016/j.bir.2020.12.003 |
ISSN: | 2214-8450 |
Appears in Collections: | INTERNATIONAL PUBLICATIONS
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