Asymmetry in spillover effects: Evidence for international stock index futures markets

Abstract

The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets pairs with nonoverlapping trading hours. The asymmetric causality test is employed to daily stock index futures returns and volatilities for the period from 03 October 2010 to 03 October 2014. The paper sheds the light on the relatively little explored concept of asymmetry in return and volatility spillovers across markets, providing the novel evidence on stabilizing and destabilizing spillover effects.

Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic

“…The particular paper relates to the empirical literature that studies the return and volatility dynamics of emerging equity markets and their linkages with those of developed markets. Spillover effects from both the same, and different, geographical regions have been analyzed extensively regarding the origins and the intensity of information transmission across markets (see Yarovaya et al., 2017 and the references therein), but this paper contributes to existing literature by presenting empirical results from the analysis of the relatively unexplored concept of risk aversion integration. The closest studies to ours is that of Cipollini et al.…”

“…The particular paper relates to the empirical literature that studies the return and volatility dynamics of emerging equity markets and their linkages with those of developed markets. Spillover effects from both the same, and different, geographical regions have been analyzed extensively regarding the origins and the intensity of information transmission across markets (see Yarovaya et al, 2017 and the references therein), but this paper contributes to existing literature by presenting empirical results from the analysis of the relatively unexplored concept of risk aversion integration. The closest studies to ours is that of Cipollini et al (2018), who analyze total and directional connectedness in risk aversion in five European stock markets (the UK, Germany, Switzerland, France and the Netherlands) in the period 2000-2013, who studies linkages among the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), CBOE EFA ETF Volatility Index (VXEFA) and CBOE Emerging Markets ETF Volatility Index (VXEEM).…”

Inter- and intra-regional analysis on spillover effects across international stock markets

“…Kundu and Sarkar (2016) test asymmetric spillovers of risk in one market to the mean of another market. Yarovaya et al (2017) employ the asymmetric causality test to analyse asymmetries in return and volatility spillovers across stock index futures. 3 The statistics is based the annual statistics guide (2016) from the World Federation of Exchanges (WFE).…”

The Use of Mutual Information to Improve Value-at-Risk Forecasts for Exchange Rates

“…These relationships may be useful in studying the effects of cross-asset risk on asset returns and asymmetric effects of exogenous returns on volatility respectively. The reverse of cross-asset returns-volatility relationship has been useful in studying spillover of volatility asymmetry across different speculative asset markets [56], as well as the improvement of multivariate volatility forecasts [48]. Cross-asset returns-volatility relationship is a theoretical construct, thus empirical evidence of substantial mutual dependencies between volatility and the exogenous returns support the plausibility of this hypothesis.…”