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Extreme Spillover Effects of Volatility Indices

Yue Peng|Wing Lon Ng
경제연구소 (Hanyang Economic Research Institute)|2012.05|Journal of Economic Research (JER)|제17권 제1호|pp. 1-17|DOI 10.17256/jer.2012.17.1.001

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참고문헌

키워드

Financial CrisisSpillover effectsTime-varying CopulasVolatility Indices
주제분류경제학

초록

In this study, we analyse contagion effects and extreme co-movements of equity and volatility indices in major international markets. The tail dependence coefficients (TDCs)increase during a financial crisis, especially for the lower TDCs of stock index returns and upper TDCs of volatility index returns. This indicates that crashes and fluctuations are easier to transmit between markets during turmoils, implying the existence of contagion. In particular, we find that the crash events transmit from the Japanese market to other markets, whereas booms are more likely to transmit from the US and Europe to Japan.

Abstract

In this study, we analyse contagion effects and extreme co-movements of equity and volatility indices in major international markets. The tail dependence coefficients (TDCs)increase during a financial crisis, especially for the lower TDCs of stock index returns and upper TDCs of volatility index returns. This indicates that crashes and fluctuations are easier to transmit between markets during turmoils, implying the existence of contagion. In particular, we find that the crash events transmit from the Japanese market to other markets, whereas booms are more likely to transmit from the US and Europe to Japan.

참고문헌 (32)

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