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Price and Volatility Spillovers across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Market [PDF]
This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect.
Brajesh Kumar +2 more
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Have volatility spillover effects of cointegrated European stock markets increased over time? [PDF]
In this study volatility spillover effects in preselected cointegrated European stock markets are investigated. The data generating processes are estimated by applying Vector-Auto Regression (VAR) models. Thereby, the impacts of volatility spillovers are
Klaus Grobys
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Shocks and Volatility Spillover Between Stock Markets of Developed Countries and GCC Stock Markets
Journal of Taibah University for Science, 2019 The purpose of this paper is to examine the spillover of returns, information and volatility of returns, and conditional variance-covariance between the stock markets of developed countries namely the United States of America, the United Kingdom and ...
Ajab A. Alfreedi
doaj +1 more source
Do Time-Varying Covariances, Volatility Comovement and Spillover Matter? [PDF]
Financial markets and their respective assets are so intertwined; analyzing any single market in isolation ignores important information. We investigate whether time varying volatility comovement and spillover impact the true variance-covariance matrix ...
Lakshmi Balasubramanyan
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MathematicsThis study employed the dynamic conditional correlation algorithm and incorporated the temporal dynamics of spillover effect to enhance the Multivariate Stochastic Volatility (MSV) model.
Jining Wang, Renjie Zeng, Lei Wang
doaj +1 more source
High frequency volatility spillover between oil and non-energy commodities during crisis and tranquil periods. [PDF]
SN Bus Econ, 2023 Marobhe MI, Kansheba JMP.
europepmc +1 more source
The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market [PDF]
This article examines the volatility spillovers from energy market to corn market. Using a volatility spillover model from the finance literature, we found significant spillovers from energy market to corn cash and futures markets, and the spillover ...
Guan, Zhengfei, Wu, Feng
core +1 more source
Journal of Finance and Data Science, 2016 Both price discovery and volatility spillovers act as information transmission mechanisms across foreign boundaries. In this regard, the present study attempts to extend the findings reported by Singh and Kaur46 by considering pairwise volatility ...
Amanjot Singh, Manjit Singh
doaj +1 more source
Volatility Spillover in India, USA and Japan Investigation of Recession Effects [PDF]
In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for ...
Sinha, Gyanesh, Sinha, Pankaj
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