How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan

Tsuji, Chikashi

doi:10.4236/me.2018.910102

Cited by 2 publications

(3 citation statements)

References 15 publications

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“…Moreover, by applying a new DCC-MEGARCH model, Tsuji (2018c) explored return and volatility transmission between international oil equities and WTI crude oil futures, in which structural break analyses were also conducted for robustness checks. Furthermore, Tsuji (2018aTsuji ( , 2018b also investigated the linkages between stock return structural breaks and their volatility persistence, although the examinations were by univariate analyses.…”

Section: Related Literature Reviewmentioning

confidence: 99%

“…In business and finance literature, structural breaks in time-series stock returns become highly important, and recently, the volatility spillover in international stock markets is also being very important research topic (e.g., Diebold and Yilmaz, 2012;Ewing and Malik, 2016;Tsuji, 2018a;Tsuji, 2018b). Then how are stock return volatility spillovers affected by their structural breaks?…”

Section: Introductionmentioning

confidence: 99%

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Structural Breaks and Volatility Spillovers: The Case of the US and Canadian Stock Markets

Tsuji¹

2019

jmr

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This paper investigates the relations of structural breaks and volatility spillovers by using the US and Canadian stock return data. Specifically, applying spillover MGARCH models without and with structural break dummy variables to the two stock returns, this study derives the following interesting evidence. (1) First, we reveal that for both the US and Canadian stock returns, the volatility persistence parameter values in our spillover MGARCH models decline when structural break dummy variables are incorporated. (2) Second, we further clarify that when we do not take structural breaks into account, the spillover effect was unidirectional from Canada to the US. However, when we take structural breaks into consideration, the results from our spillover MGARCH model with structural break dummies demonstrate that the volatility spillover effects between the US and Canada become bidirectional. (3) Third, we furthermore reveal that around the Lehman Brothers bankruptcy in 2008, the time-varying volatilities derived from our spillover MGARCH model with structural break dummy variables show slightly higher values than those volatilities from our spillover MGARCH model with no structural break dummy variable.

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Section: Related Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Structural Breaks and Volatility Spillovers: The Case of the US and Canadian Stock Markets

Tsuji¹

2019

jmr

Self Cite

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“…Finally, Tsuji (2018a) investigated return transmission and volatility spillovers between WTI crude oil futures and international oil equities by applying a new DCC-MEGARCH model, and this study used structural break analyses for the robustness checks. Although univariate analyses, Tsuji (2018b) and Tsuji (2018c) also analyzed the relations between structural breaks in stock returns and their volatility persistence in international stock markets.…”

Section: Recent Literature Reviewmentioning

confidence: 99%

A Multivariate Analysis of the Effects of Structural Breaks on Stock Return Volatility Persistence: The Case of the US and Japan

Tsuji¹

2019

IJBA

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This paper quantitatively inspects the effects of structural breaks in stock returns on their volatility persistence by using the stock return data of the US and Japan. More concretely, applying the diagonal BEKK-MGARCH model with and without structural break dummies to the returns of S&P 500 and TOPIX, we reveal the following interesting findings. (1) First, we clarify that for both the US and Japanese stock returns, the values of the GARCH parameters, namely, the values of the volatility persistence parameters in the diagonal BEKK-MGARCH models decrease when we include the structural break dummies in the models. (2) Second, we further find that interestingly, during the Lehman crisis in 2008, the estimated time-varying volatilities from the diagonal BEKK-MGARCH model with structural break dummies are slightly higher than those from the no structural break dummy model. (3) Third, we furthermore reveal that also very interestingly, the estimated time-varying correlations from the diagonal BEKK-MGARCH model with no structural break dummy are slightly higher than those from the structural break dummy model.

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How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan

Cited by 2 publications

References 15 publications

Structural Breaks and Volatility Spillovers: The Case of the US and Canadian Stock Markets

Structural Breaks and Volatility Spillovers: The Case of the US and Canadian Stock Markets

A Multivariate Analysis of the Effects of Structural Breaks on Stock Return Volatility Persistence: The Case of the US and Japan

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