Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches

2020 ◽  
Vol 52 (54) ◽  
pp. 5909-5920
Author(s):  
Hyun-Bock Lee ◽  
Cheol-Ho Park
Keyword(s):  
Futures Markets ◽  
Spillover Effects ◽  
Multivariate Garch

Simultaneous Volatility Transmission and Spillover Effects

2010 ◽  
Vol 13 (01) ◽  
pp. 127-156 ◽  
Author(s):  
Gerard L. Gannon
Keyword(s):  
Futures Markets ◽  
Spillover Effects ◽  
The United States ◽  
Market Volatility ◽  
Multivariate Garch ◽  
Index Futures ◽  
Volatility Transmission ◽  
Volatility Models ◽  
Volatility Model ◽  
Intraday Data

Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United States S&P500 index futures markets are tested using alternative estimates of this US market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to misspecification of the direction of volatility causality.

Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies

2019 ◽  
Vol 11 (2) ◽  
pp. 174-192 ◽  
Author(s):  
Ajaya Kumar Panda ◽  
Swagatika Nanda ◽  
Vipul Kumar Singh ◽  
Satish Kumar
Keyword(s):  
Exchange Rates ◽  
Asset Management ◽  
Spillover Effects ◽  
International Investment ◽  
Multivariate Garch ◽  
Conditional Volatility ◽  
Substantial Impact ◽  
Content Type ◽  
Volatility Spillovers ◽  
Strongly Connected

Purpose The purpose of this study is to examine the evidences of leverage effects on the conditional volatility of exchange rates because of asymmetric innovations and its spillover effects among the exchange rates of selected emerging and growth-leading economies. Design/methodology/approach The empirical analysis uses the sign bias test and asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models to capture the leverage effects on conditional volatility of exchange rates and also uses multivariate GARCH (MGARCH) model to address volatility spillovers among the studied exchange rates. Findings The study finds substantial impact of asymmetric innovations (news) on the conditional volatility of exchange rates, where Russian Ruble is showing significant leverage effect followed by Indian Rupee. The exchange rates depict significant mean spillover effects, where Rupee, Peso and Ruble are strongly connected; Real, Rupiah and Lira are moderately connected; and Yuan is the least connected exchange rate within the sample. The study also finds the assimilation of information in foreign exchanges and increased spillover effects in the post 2008 periods. Practical implications The results probably have the implications for international investment and asset management. Portfolio managers could use this research to optimize their international portfolio. Policymakers such as central banks may find the study useful to monitor and design interventions strategies in foreign exchange markets keeping an eye on the nature of movements among these exchange rates. Originality/value This is one of the few empirical research studies that aim to explore the leverage effects on exchange rates and their volatility spillovers among seven emerging and growth-leading economies using advanced econometric methodologies.

scholarly journals An analysis of CEE equity market integration and their volatility spillover effects

2019 ◽  
Vol 29 (1) ◽  
pp. 23-40 ◽  
Author(s):  
Ngo Thai Hung
Keyword(s):  
Market Integration ◽  
Design Methodology ◽  
Spillover Effects ◽  
Equity Market ◽  
Multivariate Garch ◽  
The Czech Republic ◽  
Content Type ◽  
Volatility Spillovers ◽  
Conditional Correlations ◽  
Practical Implications

Purpose The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk. Originality/value Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.

COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

2015 ◽  
Vol 77 (20) ◽  
Author(s):  
Siok Kun Sek ◽  
Zhan Jian Ng ◽  
Wai Mun Har
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Oil Price ◽  
Multivariate Garch ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Long Run ◽  
Short Run

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

A Study on the Price Discovery in Korea Stock Index Markets: KODEX200, KOSPI200, and KOSPI200 Futures

2009 ◽  
Vol 17 (3) ◽  
pp. 67-97
Author(s):  
Seok-Kyu Kang
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Multivariate Garch ◽  
Stock Index ◽  
Reverse Direction ◽  
Discovery Process ◽  
Vector Error Correction ◽  
Price Series ◽  
Auto Regressive ◽  
Price Discovery Process

This paper examines the price discovery process among the Korea stock index markets using the vector error correction model (VECM) and the multivariate generalized auto regressive conditional heteroskedasticity (M-GARCH) model. The minute-by-minute price series of the KOSPI200 index, KOSPI200 futures, and KODEX200 are cointegrated. The empirical results are summarized as follows: First, VECM estimation results indicate that when the cointegrating relationship is perturbed by the arrival of ntis, the KODEX200(ETF) does not adjusted to restore equilibrium. This is the task of the KOSPI200 futures and spot. These two index securities use the KODEX200 to represent the ntioequilibrium price, with the KOSPI200 futures responding faster than the KOSPI200 spot. When the cointegrating relationship betweeiesOSPI200 spot and futues is perturbed by the arrival of ntis, the KOSPI200 spot does adjusted to restore equilibrium. Next, the results from the multivariate GARCH modes indicate that the volatilities of esOSPI200 spot and futures markets suggest unidirectiona1volatility spillover from KOSPI200 futures to KOSPI200 spot. KODEX200(ETF) volatilities spill over bothesOSPI200 spot and futures markets. and this happen in the reverse direction with a strong effect from the KODEX200 to KOSP200 futures and spot. The overall findings indicate that the KODEX200(ETF) market dominates KOSPI200 futures and spot in the price discovery process. The regulation of Instutional traders on trading on futures markets explains its superior price discovery function.

An Empirical Study on the Asymmetric Effects of Trading Volume Information in int‘l Currency Futures Markets: Advanced vs Emerging Markets

2012 ◽  
Vol 20 (2) ◽  
pp. 237-264
Author(s):  
Chung-Hyo Hong
Keyword(s):  
Emerging Markets ◽  
Trading Volume ◽  
Futures Markets ◽  
Spillover Effects ◽  
Canadian Dollar ◽  
Strong Impact ◽  
Price Changes ◽  
Empirical Results ◽  
Currency Futures ◽  
Japanese Yen

This paper tested the conditional mean spillover effects between trading volume and price changes in international currency futures markets. We use 8 kinds of currency futures markets such as Japanese yen, British pound, Australian and Canadian dollar as the advanced market and Korean Won/Dollar, Brazilian Real, Russian rubul and South African's land futures as the emerging markets. The sample period is covered from May 19, 2006 to March 15, 2009. For this purpose we employed dynamic time series model such as Nelson (1991)'s Exponential GARCH (1, 1)-M. The major empirical results are as follows; First, according to the empirical results of 4 advanced currency futures markets, we find that the open interests have a strong impact on the price changes at a statistically significant level. In case of the British pound and Canadian dollar futures, the price changes also have influence on the open interests. Second, according to the empirical results of 4 emerging currency futures markets, only Russian currency futures' open interest has an impact on the price change but the price changes of the remain 3 countries have an impact on open interests respectively at a significant level. Third, we also find that there is a asymmetric volatility spillover effects between open interests and price changes in all the advanced and emerging currency futures markets. Fourth, according to Granger causality test the influence of Japanese yen, Australian and Canadian dollar and Brazilian Real futures on the other currency futures markets are dominant. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

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