Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures

By L. Yarovaya, Janusz Brzeszczyński, Chi Keung Marco Lau. 2016

231 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/273d3b08272a953e425e3d470b6afa8fe2850dd6

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Citations in the corpus

Volatility spillovers across global asset classes: Evidence from time and frequency domains (2018, background): “1 An important research topic in the literature is the analysis of international volatility spillovers (see for example, Dungey and Martin, 2007; Morana and Beltratti, 2008; Diebold and Yilmaz, 2009; Duncan and Kabundi, 2014; Ehrmann et al., 2011; Bayoumi and Bui, 2012; Antonakakis and Vergos, 2013;”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “…to this, in order to make the analysis more relevant to actual trading strategies, potential future research should also involve stock index futures data as, according to authors such as Yarovaya et al. (2016), these instruments present investors with greater opportunities for diversification.”
Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “Subsequent empirical studies have emphasized the direction of spillovers in returns and volatility across individual assets, asset portfolios, and asset markets (Awartani and Maghyereh, 2013; Zhang andWang, 2014; Antonakakis et al., 2016; Yarovaya et al., 2016).”
Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis (2017, unknown): “This framework has been widely employed in recent years to examine the international information transmission mechanisms across stock markets (Balli et al., 2015; Tsai, 2014; Yarovaya et al., 2016).”