Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures
Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures
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DOI：
10.1016/j.irfa.2015.09.004
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发表时间：
2016-01-01
影响因子：
8.2
通讯作者：
Lau, Chi Keung Marco
中科院分区：
文献类型：
--
作者：
Yarovaya, Larisa;Brzeszczynski, Janusz;Lau, Chi Keung Marco
我们提供了经验证据的模式，在亚洲，美洲，欧洲和非洲的10个发达市场和11个新兴市场的区域内和区域间的信息传输使用股票指数和股票指数期货。通过基于广义向量自回归框架对最近几次危机的收益和波动溢出效应进行分析，考察了2005 - 2014年期间的主要传导渠道。我们的研究结果表明，市场更容易受到国内和区域特定的波动冲击，而不是区域间的传染。在我们的研究中报告的一个新的结果是不同的国际信号传输模式之间的模型采用指数和期货数据。我们的结论是，期货数据提供了更有效的信息传递渠道，因为跨期货的回报和波动溢出的幅度大于跨指数。我们的研究结果与从业者（如股市投资者）以及政策制定者相关，有助于提高他们对金融市场相互关联性的理解。(C)2015作者爱思唯尔公司出版这是一个在CC BY许可证下的开放获取文章（http：//creativecommons.org/licenses/by/4.0/）。
We provide empirical evidence on the patterns of intra-and inter-regional transmission of information across 10 developed and 11 emerging markets in Asia, the Americas, Europe and Africa using both stock indices and stock index futures. The main transmission channels are examined in the period from 2005 to 2014 through the analysis of return and volatility spillovers around the most recent crises based on the generalized vector autoregressive framework. Our findings demonstrate that markets are more susceptible to domestic and region-specific volatility shocks than to inter-regional contagion. A novel result reported in our study is a difference in patterns of international signals transmission between models employing indices and futures data. We conclude that futures data provide more efficient channels of information transmission because the magnitude of return and volatility spillovers across futures is larger than across indices. Our findings are relevant to practitioners, such as stock market investors, as well as policy makers and can help enhance their understanding of financial markets interconnectedness. (C) 2015 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).