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This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …
Persistent link: https://www.econbiz.de/10013154956
We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the … fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate …
Persistent link: https://www.econbiz.de/10013121824
speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …
Persistent link: https://www.econbiz.de/10012868588
returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …
Persistent link: https://www.econbiz.de/10013054678
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have …
Persistent link: https://www.econbiz.de/10013051665
filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …
Persistent link: https://www.econbiz.de/10013057674
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...
Persistent link: https://www.econbiz.de/10013081460
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …
Persistent link: https://www.econbiz.de/10011605159
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …
Persistent link: https://www.econbiz.de/10012958440
I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre … significant increases in unanticipated volatility in US equity markets, which I relate to well-known historical events. My …
Persistent link: https://www.econbiz.de/10013035639