Advanced

Jump Spillover in International Equity Markets

Asgharian, Hossein LU and Bengtsson, Christoffer LU (2006) In Journal of Financial Econometrics 4(2). p.167-203
Abstract
In this article we study jump spillover effects between a number of country equity indexes. In order to identify the latent historical jumps of each index, we use a Bayesian approach to estimate a jump-diffusion model on each index. We look at the simultaneous jump intensities of pairs of countries and the probabilities that jumps in large countries cause jumps or unusually large returns in other countries. In all cases, we find significant evidence of jump spillover. In addition, we find that jump spillover seems to be particularly large between countries that belong to the same regions and have similar industry structures, whereas, interestingly, the sample correlations between the countries have difficulties in capturing the jump... (More)
In this article we study jump spillover effects between a number of country equity indexes. In order to identify the latent historical jumps of each index, we use a Bayesian approach to estimate a jump-diffusion model on each index. We look at the simultaneous jump intensities of pairs of countries and the probabilities that jumps in large countries cause jumps or unusually large returns in other countries. In all cases, we find significant evidence of jump spillover. In addition, we find that jump spillover seems to be particularly large between countries that belong to the same regions and have similar industry structures, whereas, interestingly, the sample correlations between the countries have difficulties in capturing the jump spillover effects. (Less)
Please use this url to cite or link to this publication:
author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
systemic risk, stochastic volatility, spillover, Markov chain Monte Carlo, event risk, jump-diffusion model
in
Journal of Financial Econometrics
volume
4
issue
2
pages
167 - 203
publisher
Oxford University Press
external identifiers
  • scopus:33646183144
ISSN
1479-8409
DOI
10.1093/jjfinec/nbj005
language
English
LU publication?
yes
id
a125e50f-fa7f-43b2-9da5-f51c5e4ca8e9 (old id 1384520)
date added to LUP
2016-04-01 11:39:31
date last changed
2020-09-02 01:32:32
@article{a125e50f-fa7f-43b2-9da5-f51c5e4ca8e9,
  abstract     = {In this article we study jump spillover effects between a number of country equity indexes. In order to identify the latent historical jumps of each index, we use a Bayesian approach to estimate a jump-diffusion model on each index. We look at the simultaneous jump intensities of pairs of countries and the probabilities that jumps in large countries cause jumps or unusually large returns in other countries. In all cases, we find significant evidence of jump spillover. In addition, we find that jump spillover seems to be particularly large between countries that belong to the same regions and have similar industry structures, whereas, interestingly, the sample correlations between the countries have difficulties in capturing the jump spillover effects.},
  author       = {Asgharian, Hossein and Bengtsson, Christoffer},
  issn         = {1479-8409},
  language     = {eng},
  number       = {2},
  pages        = {167--203},
  publisher    = {Oxford University Press},
  series       = {Journal of Financial Econometrics},
  title        = {Jump Spillover in International Equity Markets},
  url          = {http://dx.doi.org/10.1093/jjfinec/nbj005},
  doi          = {10.1093/jjfinec/nbj005},
  volume       = {4},
  year         = {2006},
}