Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators.

Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung Marco

Abstract

This paper investigates the channels of volatility transmission across stock index futures in 6 major developed and emerging markets in Asia. We analyse whether the popular volatility spillovers tests are susceptible to the choice of range volatility estimators. Our results demonstrate strong linkages between markets within the Asian region, indicating that the signal receiving markets are sensitive to both negative and positive volatility shocks, which reveals the asymmetric nature of volatility transmission channels. We find that some markets play a destabilizing role while other countries - contrary to popular belief - have a stabilizing effect on other markets in Asia.

Citation

YAROVAYA, L., BRZESZCZYNSKI, J. and LAU, C.K.M. 2016. Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators. Finance research letters [online], 17, pages 158-166. Available from: https://doi.org/10.1016/j.frl.2016.03.005

• Journal Article Type: Article
• Acceptance Date: Mar 5, 2016
• Online Publication Date: Mar 15, 2016
• Publication Date: May 31, 2016
• Deposit Date: May 4, 2023
• Publicly Available Date: May 4, 2023
• Journal: Finance research letters
• Print ISSN: 1544-6123
• Electronic ISSN: 1544-6131
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 17
• Pages: 158-166
• DOI: https://doi.org/10.1016/j.frl.2016.03.005
• Keywords: Stock markets; Volatility spillovers; Range volatility estimators; Asian markets
• Public URL: https://rgu-repository.worktribe.com/output/1952898