Strohsal, Till and Weber, Enzo (2015) Time-varying international stock market interaction and the identification of volatility signals. JOURNAL OF BANKING & FINANCE, 56. pp. 28-36. ISSN 0378-4266, 1872-6372
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This paper investigates the dependency of international stock market interaction on financial volatility. We show in a stylized economic model that volatility-dependent cross-market spillovers can be interpreted in two different ways, as indicating information flow or uncertainty. If higher volatility in one market leads to higher (lower) reactions in another market, volatility reflects information (uncertainty). We apply a simultaneous time-varying coefficient model, where structural ARCH-type variances serve two purposes: governing the time variation of spillovers and ensuring statistical identification. We analyze data of US and further stock markets. Indeed, we find strong nonlinear, volatility-dependent spillovers. (C) 2015 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EXCHANGE-RATE VOLATILITY; TRADING VOLUME; MACROECONOMIC ANNOUNCEMENTS; DISTRIBUTIONS HYPOTHESIS; RETURN VOLATILITY; DIRECT-INVESTMENT; INFORMATION; MODELS; HETEROSKEDASTICITY; COMOVEMENTS; Information; Uncertainty; Spillover; Simultaneous equations; Identification |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 08 Jul 2019 13:59 |
| Last Modified: | 08 Jul 2019 13:59 |
| URI: | https://pred.uni-regensburg.de/id/eprint/5273 |
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