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Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators

Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators
Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators
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.
stock markets, volatility spillovers, range volatility estimators, asian markets
1544-6123
158-166
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Brzeszczynski, Janusz
75889fb6-90d9-40d1-b7e3-98e67c8dafb8
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Brzeszczynski, Janusz
75889fb6-90d9-40d1-b7e3-98e67c8dafb8
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe

Yarovaya, Larisa, Brzeszczynski, Janusz and Lau, Chi Keung Marco (2016) Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators. Finance Research Letters, 17, 158-166. (doi:10.1016/j.frl.2016.03.005).

Record type: Article

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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More information

Accepted/In Press date: 5 March 2016
e-pub ahead of print date: 15 March 2016
Keywords: stock markets, volatility spillovers, range volatility estimators, asian markets

Identifiers

Local EPrints ID: 426315
URI: http://eprints.soton.ac.uk/id/eprint/426315
ISSN: 1544-6123
PURE UUID: e005a30d-22ca-40c2-b7c7-df876c957dcd
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 22 Nov 2018 17:30
Last modified: 27 Apr 2022 02:13

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Contributors

Author: Larisa Yarovaya ORCID iD
Author: Janusz Brzeszczynski
Author: Chi Keung Marco Lau

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