Volatility spillovers among global stock markets : measuring total and directional effects

Gamba-Santamaría, Santiago; Gómez-González, José Eduardo; Hurtado-Guarín, Jorge Luis; Melo‐Velandia, Luis Fernando

doi:10.32468/be.983

Cited by 3 publications

(2 citation statements)

References 15 publications

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“…0 Our results show that China is a net receiver (13.1%). This result goes in line with Gamba-Santamaria et al (2017b), who …nd that while the importance of China in international …nancial markets has increased over the last years, this country is still a net receptor of volatility from the world's major …nancial markets. Although results shown in Table 3 are interesting, as they present a snapshot of what happened in global markets for the whole sample period, they do not allow checking whether connectedness within markets changes over time.…”

Section: Data Descriptionsupporting

confidence: 87%

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Uncovering the time-varying nature of causality between oil prices and stock market returns : a multi-country study

Gómez-González¹,

Hirs-Garzón²

2017

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We study the relation between oil prices and stock market returns for a set of six countries, including important oil consumers and demanders. We study interconnectedness between oil and stock markets and characterize the dynamics of transmission and reception between them. We test for Granger causality between markets dynamically, endogenously identifying periods for which oil prices have responded to innovations in …nancial markets. Our results on connectedness show that the direction of transmission is mainly from stock markets to crude petroleum prices. Additionally, connectedness increased importantly around the global …nancial crisis, and reports high levels until 2014. Regarding causality, we …nd evidence of bidirectional relations between stock market returns and crude petroleum prices. Causality is stronger during times of …nancial volatility as well. Our results have important implications both for investors and policy makers. JEL Classi…cation:G01; G12; C22.

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Section: Data Descriptionsupporting

confidence: 87%

“…Total connectedness measures in related studies are lower than the one encountered in this study. See, for instance,Gamba-Santamaria et al (2017a, 2017b andZhang (2017).…”

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confidence: 99%

Uncovering the time-varying nature of causality between oil prices and stock market returns : a multi-country study

Gómez-González¹,

Hirs-Garzón²

2017

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Almanya, Fransa Ve Amerika’ Dan Türk Hisse Senedi Piyasalarina Stok Getiri Volatilite Yayilimlari

Karğın

Kayalıdere

Güleç

et al. 2018

Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

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The aim of this study is to examine the volatility spillover effects of German, French and American stock market indices on BIST 100 Turkish stock market index. Dataset consists of daily closing price observations starting from January 2, 2004, until February 6, 2017, for indices DAX 30, CAC 40, S&P 500 and BIST 100. E-GARCH(1,1) method has been used to model the conditional variance. Volatility is in a relatively narrow band under a non-crisis economic conjuncture. On the other hand, it is expected that the global risk will be higher during crisis periods. Therefore, the differentiation in the volatility spillover behavior among the markets while under different economic conditions is a rational expectation. In this regard, the Threshold VAR (TVAR) model was used in the study. In the result of the study, it has been observed that the volatility spillover effect on the BIST 100 index is relatively low in the regimes where the global risk is low, whereas the effect is relatively higher in the regime where the global risk is high. Furthermore, results of analysis also indicate that S&P is the most influential index to affect BIST 100 both in high and low-risk regimes. ÖzBu çalışmanın amacı Almanya, Fransa ve Amerika hisse senedi piyasalarının Türkiye hisse senedi piyasası üzerindeki oynaklık yayılımı etkisini incelemektir. 02.01.2004 -06.02.2017 dönemi için günlük frekansda DAX 30, CAC 40, S&P 500 ve BİST 100 endekslerine ilişkin kapanış verileri kullanılmıştır. Koşullu varyans değerlerini elde etmek amacıyla E-GARCH(1,1) modelinden yaralanılmıştır. Volatilitenin normal bir ekonomik konjonktürde nispeten daha dar bir bant içinde olması olağandır. Buna karşın küresel riskin yüksek olduğu kriz dönemlerinde ise daha büyük bir aralıkta seyretmesi beklenen bir durumdur. Dolayısıyla risk açısından farklılık gösteren ekonomik koşullarda, piyasalar arası oynaklık yayılımı davranışlarının da farklılaşması rasyonel bir beklentidir. Bu açıdan araştırmada söz konusu durumu dikkate alan Threshold VAR (TVAR) modellemesi kullanılmıştır. Çalışma sonucunda küresel riskin düşük olduğu rejimde BİST 100 endeksi üzerindeki yayılım etkisinin göreli olarak düşük olduğu, buna karşın küresel riskin yüksek olduğu rejimde ise söz konusu etkinin nispeten yüksek olduğu gözlemlenmiştir. Buna ek olarak BİST 100 endeksinin bu gelişmiş ülkelere ait 3 endeks içerisinden en yoğun olarak S&P endeksinden etkilendiği bulgulanmıştır.

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Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods

Diks

Fang

2017

Entropy

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Abstract:The information-theoretical concept transfer entropy is an ideal measure for detecting conditional independence, or Granger causality in a time series setting. The recent literature indeed witnesses an increased interest in applications of entropy-based tests in this direction. However, those tests are typically based on nonparametric entropy estimates for which the development of formal asymptotic theory turns out to be challenging. In this paper, we provide numerical comparisons for simulation-based tests to gain some insights into the statistical behavior of nonparametric transfer entropy-based tests. In particular, surrogate algorithms and smoothed bootstrap procedures are described and compared. We conclude this paper with a financial application to the detection of spillover effects in the global equity market.

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Volatility spillovers among global stock markets : measuring total and directional effects

Cited by 3 publications

References 15 publications

Uncovering the time-varying nature of causality between oil prices and stock market returns : a multi-country study

Uncovering the time-varying nature of causality between oil prices and stock market returns : a multi-country study

Almanya, Fransa Ve Amerika’ Dan Türk Hisse Senedi Piyasalarina Stok Getiri Volatilite Yayilimlari

Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods

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