Volatility Spillovers Across Stock Index Futures in Asian Markets

Evidence from Range Volatility Estimators

Larisa Yarovaya, Janusz Brzeszczynski, Chi Keung Marco Lau

Research output: Contribution to journalArticle

19 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)158-166
Number of pages9
JournalFinance Research Letters
Volume17
Early online date15 Mar 2016
DOIs
Publication statusPublished - May 2016
Externally publishedYes

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Stock index futures
Estimator
Volatility spillover
Asia
Volatility transmission
Emerging markets
Linkage
Transmission channel

Cite this

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title = "Volatility Spillovers Across Stock Index Futures in Asian Markets: Evidence from Range Volatility Estimators",
abstract = "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.",
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Volatility Spillovers Across Stock Index Futures in Asian Markets : Evidence from Range Volatility Estimators. / Yarovaya, Larisa; Brzeszczynski, Janusz; Lau, Chi Keung Marco.

In: Finance Research Letters, Vol. 17, 05.2016, p. 158-166.

Research output: Contribution to journalArticle

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