Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
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DOI：
10.1016/j.jbankfin.2013.12.023
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发表时间：
2014-10
影响因子：
3.7
通讯作者：
Robert C. Jung;Robert Maderitsch
中科院分区：
文献类型：
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作者：
Robert C. Jung;Robert Maderitsch
本文对2000 - 2011年香港、欧洲和美国股市之间的波动传递进行了研究。使用日内数据，我们计算三个市场的已实现波动率时间序列，并采用异质自回归分布滞后模型作为我们的基线计量经济学规范。基于样本中存在的各种危机事件，我们发现了波动溢出的时变和结构性突变。特别是在2007年的金融危机期间，我们发现的效果与传染的概念一致，这表明在跨市场同步的时间顺序上成功的波动率的强烈和突然的增加。然而，通过研究均值突变和条件异方差在已实现波动率中的作用，我们发现后者是波动溢出中突变的主要驱动因素。考虑到已实现波动率的波动性，我们没有发现传染的证据了。
This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intra-daily data we compute realized volatility time series for the three markets and employ a Heterogeneous Autoregressive Distributed Lag Model as our baseline econometric specification. Motivated by the presence of various crisis events contained in our sample, we detect time-variation and structural breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding volatilities. Investigating the role of mean breaks and conditional heteroskedasticity in the realized volatilities, however, we find the latter to be the main driver of breaks in volatility spillovers. Taking the volatility of realized volatilities into account, we find no evidence of contagion anymore.