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Risk Contagion among International Stock Markets

Asgharian, Hossein LU and Nossman, Marcus LU (2011) In Journal of International Money and Finance 30(1). p.22-38
Abstract (Swedish)
Abstract in Undetermined

We develop a stochastic volatility model with jumps in returns and volatility to analyze the risk spillover from the U.S. market and the regional market to a number of European countries' equity markets. The key advantage of this approach compared to the earlier approaches is that it enables us to identify jumps and investigate spillover of extreme events across borders. We find that a large part of the jumps in the local markets are due to the U.S. market and the regional market. The U.S. contribution to the variances is in general below the contribution from the regional market. In general, we observe an increasing integration during the last two decades, which, to some extent, can be related to... (More)
Abstract in Undetermined

We develop a stochastic volatility model with jumps in returns and volatility to analyze the risk spillover from the U.S. market and the regional market to a number of European countries' equity markets. The key advantage of this approach compared to the earlier approaches is that it enables us to identify jumps and investigate spillover of extreme events across borders. We find that a large part of the jumps in the local markets are due to the U.S. market and the regional market. The U.S. contribution to the variances is in general below the contribution from the regional market. In general, we observe an increasing integration during the last two decades, which, to some extent, can be related to the advancement of the European Union. Furthermore, we show that the identification of the jumps can be used as a useful signal for portfolio reallocation. (Less)
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Spillover, Jump, Stochastic volatility, Wavelet, Markov Chain Monte Carlo, Integration
in
Journal of International Money and Finance
volume
30
issue
1
pages
22 - 38
publisher
Elsevier
external identifiers
  • wos:000287282900002
  • scopus:78651440937
ISSN
0261-5606
DOI
10.1016/j.jimonfin.2010.06.006
language
English
LU publication?
yes
id
f2970e06-fc8e-4b79-b673-ae7a64b3551e (old id 1671210)
date added to LUP
2011-01-18 10:06:14
date last changed
2017-07-02 03:14:57
@article{f2970e06-fc8e-4b79-b673-ae7a64b3551e,
  abstract     = {<b>Abstract in Undetermined</b><br/><br>
We develop a stochastic volatility model with jumps in returns and volatility to analyze the risk spillover from the U.S. market and the regional market to a number of European countries' equity markets. The key advantage of this approach compared to the earlier approaches is that it enables us to identify jumps and investigate spillover of extreme events across borders. We find that a large part of the jumps in the local markets are due to the U.S. market and the regional market. The U.S. contribution to the variances is in general below the contribution from the regional market. In general, we observe an increasing integration during the last two decades, which, to some extent, can be related to the advancement of the European Union. Furthermore, we show that the identification of the jumps can be used as a useful signal for portfolio reallocation.},
  author       = {Asgharian, Hossein and Nossman, Marcus},
  issn         = {0261-5606},
  keyword      = {Spillover,Jump,Stochastic volatility,Wavelet,Markov Chain Monte Carlo,Integration},
  language     = {eng},
  number       = {1},
  pages        = {22--38},
  publisher    = {Elsevier},
  series       = {Journal of International Money and Finance},
  title        = {Risk Contagion among International Stock Markets},
  url          = {http://dx.doi.org/10.1016/j.jimonfin.2010.06.006},
  volume       = {30},
  year         = {2011},
}