Volatility Spillovers and the Effect of News Announcements

Jiang, George J.; Konstantinidi, Eirini; Skiadopoulos, George

doi:10.2139/ssrn.1639845

Cited by 23 publications

(22 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For recent studies that used macroeconomic surprises and unscheduled news in stock and interest rates markets see, for example, Birz and Lott (), Rosa (), Jiang et al . () and Beetsma et al . ().…”

mentioning

confidence: 86%

“…For recent studies that used macroeconomic surprises and unscheduled news in stock and interest rates markets see, for example, Birz and Lott (2011),Rosa (2011), Jiang et al (2012 andBeetsma et al (2013). For an earlier attempt on the forex market seeTivegna (2002).19 Old terrorism news were totally unexpected and it was not clear what their long-term impact would be.…”

mentioning

confidence: 99%

See 1 more Smart Citation

The Euro‐Dollar Exchange Rate: How Traders’ Behaviour Has Been Affected by the 2007–2008 Financial Crisis

2016

View full text Add to dashboard Cite

This paper investigates the dynamics of the Euro/US dollar exchange rate before, during and after the global financial crisis using intra‐day data in a sample covering the period 2003–2011. The paper extends over the conventional empirical framework and specifies an EGARCH (3,1) model to account for heterogeneity in three temporal trading zones and for asymmetric volatility to news. The findings indicate the presence and evolution of differences in Euro/US exchange rate dynamics across American, European and Asian trading zones before and during the financial crisis. As a result of the crisis, traders in the three areas have modified their reactions to scheduled news, unscheduled surprises and content of policies. Developing a better understanding of how traders' behaviour has adjusted since the onset of the crisis is an important issue given the global significance of this exchange rate and the considerable volatility experienced over the sample period.

show abstract

mentioning

confidence: 86%

mentioning

confidence: 99%

The Euro‐Dollar Exchange Rate: How Traders’ Behaviour Has Been Affected by the 2007–2008 Financial Crisis

2016

View full text Add to dashboard Cite

show abstract

“…Ng (2000) examines the magnitude and changing nature of volatility spillovers from Japan and the USA to six Pacific-Basin equity markets and confirms the presence of significance spillovers. Furthermore, Jiang et al (2012) examine the effect of the US and European news announcements on the spillover of volatility between the US and European markets and across the European market. They find that the lagged changes in the US volatility index (VIX) have a significant impact on all European volatility indices, therefore noting the presence of implied volatility transmission from the USA to Europe.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Canova, 2005);Mackowiak, 2007;volatility, (e.g. Ng, 2000); Jiang et al, 2012) has all found evidence of international spillover effects. Given the dominant role the USA plays in affecting world equity market as evidenced from the aforementioned spillover studies, we therefore attempt to determine whether sentiment of US investors play any significant role in transmitting its shocks to international financial markets.…”

Section: Introductionmentioning

confidence: 99%

International Sentiment Spillovers in Equity Returns

2016

View full text Add to dashboard Cite

This paper examines the extent of spillovers from US investor sentiment on G7 aggregate market, value and growth stock returns. As a proxy for investor sentiment, we include individual investor survey, measured by the University of Michigan consumer confidence index and market sentiment measured by Baker and Wurgler composite sentiment index. Using monthly data for the period January 1991 to December 2013, our results indicate the presence of significant spillover effects of US investor sentiment on G7 stock returns. Our findings from generalized impulse response functions show that aggregate market and growth stocks of all non-US G7 countries are significantly affected by the propagation of the US market sentiment. The financial crisis of 2007 has played a significant role in affecting value stock returns in these countries. Our findings further reveal that both the rational and irrational components of the US individual investor sentiment do not play any significant role in affecting international stock returns.

show abstract

“…All the aforementioned studies focus on the US stock market. The only study analyzing spillovers effects across different volatility indices for the US and Europe (with emphasis on the role played by news) is the one by Jiang et al (2012).…”

Section: Introductionmentioning

confidence: 99%

Volatility co-movements: A time-scale decomposition analysis

Cipollini

Cascio

Muzzioli

2015

Journal of Empirical Finance

View full text Add to dashboard Cite

In this paper, we are interested in detecting contagion from US to European stock market volatilities in the period immediately after the Lehman Brothers collapse. The analysis is based on a factor decomposition of the covariance matrix, in the time and frequency domain, using wavelets. The analysis aims to disentangle two components of volatility contagion (anticipated and unanticipated by the market). Once we focus on standardized factor loadings, the results show no evidence of contagion (from the US) in market expectations (coming from implied volatility) and evidence of unanticipated contagion (coming from the volatility risk premium) for almost any European country. Finally, the estimation of a three-factor model speciﬁcation shows that a European common shock plays an important role in determining volatility co-movements mainly in the tranquil period, while in the period of ﬁnancial turmoil, the US common shock is the main driver of volatility co-movements

show abstract

Volatility Spillovers and the Effect of News Announcements

Cited by 23 publications

References 25 publications

The Euro‐Dollar Exchange Rate: How Traders’ Behaviour Has Been Affected by the 2007–2008 Financial Crisis

The Euro‐Dollar Exchange Rate: How Traders’ Behaviour Has Been Affected by the 2007–2008 Financial Crisis

International Sentiment Spillovers in Equity Returns

Volatility co-movements: A time-scale decomposition analysis

Contact Info

Product

Resources

About