Volatility transmission among Latin American stock markets under structural breaks

Networks of volatility spillovers among stock markets

“…Second, in a general way we enlarge the literature on return and volatility spillovers (e.g. Güloğlu et al [17]; Boubaker and Ali Raza [18]; Výrost et al [19]; Al Rahahleh and Bhatti [38]). Third, in a specific way we enrich the literature on financial crisis and market distress (e.g.…”

“…The result has some implications with regard to direct and indirect effects. 17 First, average indirect effects are much larger, although they are highly correlated with direct effects across all subsamples; this dependence is not explicitly reported but is available upon request. The explanation for such sizeable discrepancies is that the markets are highly interconnected, as a number of markets exhibit more than 10 linkages in average (see Table 1).…”

“…The stock and commodity markets were in particular peril as they exhibit a long-range dependence (Lahmiri [7]). However, the impact of the GFC was not limited only to stock markets of large economies as the Eurozone (Anagnostidis et al [8]), the U.S. (Chen et al [3]), or China (Yang et al [9]; Chen et al [3]) but it also spread to relatively smaller, yet important, economies in Asia (Yim et al [10]; Kantar et al [11]; Nobi et al [12]; Hui and Chen [13]; Kuzubaş et al [14]; Kanjamapornkul et al [15]), Africa (Majapa and Gossel [16]) and Latin America (Güloğlu et al [17]). …”

“…Attention has been paid by the researchers to the equity and stock markets (Güloğlu et al [17]; Boubaker and Ali Raza [18]; Výrost et al [19]; Al Rahahleh and Bhatti [20]; Liu et al [21]) as well as to commodity markets (Ji and Guo [22]; Lahmiri [23]). Additional evidence has been put forward for spillovers between spot and futures markets (Liu and Wang [24]; Kang et al [25]) or spot and derivative markets (Kim and Ryu [26]).…”

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

“…Using stock market data, Chatzikonstanti and Venetis [3] investigated whether the observed long memory characteristic of equity returns is spurious and whether it is explained by the presence of structural breaks; and they suggested that once the structural breaks are considered, the equity return volatility persistence was eliminated. Güloğlu et al [7] examined the volatility spillovers among five Latin American equity markets, and they suggested that when the structural breaks of variances are taken into consideration, volatility spillover effects among the five equity markets were not strong.…”