Risk Contagion among International Stock Markets
(2011) In Journal of International Money and Finance 30(1). p.22-38- Abstract
- 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... (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:
https://lup.lub.lu.se/record/1671210
- author
- Asgharian, Hossein LU and Nossman, Marcus LU
- organization
- publishing date
- 2011
- 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
- 2016-04-01 10:35:06
- date last changed
- 2022-02-10 03:30:12
@article{f2970e06-fc8e-4b79-b673-ae7a64b3551e,
abstract = {{Abstract in Undetermined<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}},
keywords = {{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}},
doi = {{10.1016/j.jimonfin.2010.06.006}},
volume = {{30}},
year = {{2011}},
}