Jump Spillover in International Equity Markets
(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:
https://lup.lub.lu.se/record/1384520
- author
- Asgharian, Hossein LU and Bengtsson, Christoffer LU
- organization
- publishing date
- 2006
- 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
- 2022-02-10 19:35:47
@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}},
keywords = {{systemic risk; stochastic volatility; spillover; Markov chain Monte Carlo; event risk; jump-diffusion model}},
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}},
}