TY - JOUR
T1 - Volatility Spillovers Across Stock Index Futures in Asian Markets
T2 - Evidence from Range Volatility Estimators
AU - Yarovaya, Larisa
AU - Brzeszczynski, Janusz
AU - Lau, Chi Keung Marco
PY - 2016/5
Y1 - 2016/5
N2 - 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.
AB - 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.
KW - Stock markets
KW - Volatility spillovers
KW - Range volatility estimators
KW - Asian markets
UR - https://www.journals.elsevier.com/finance-research-letters/
U2 - 10.1016/j.frl.2016.03.005
DO - 10.1016/j.frl.2016.03.005
M3 - Article
VL - 17
SP - 158
EP - 166
JO - Finance Research Letters
JF - Finance Research Letters
SN - 1544-6123
ER -