scholarly journals Return and Volatility Spillover between Cryptocurrency and Stock Markets: Evidence from Turkey

2022 ◽  
pp. 117-126
Author(s):  
Erkan USTAOĞLU
Keyword(s):  
Stock Markets ◽  
Volatility Spillover

scholarly journals Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover

2017 ◽  
Vol 44 ◽  
pp. 13-26 ◽  
Author(s):  
Hong Miao ◽  
Sanjay Ramchander ◽  
Tianyang Wang ◽  
Dongxiao Yang
Keyword(s):  
Stock Markets ◽  
Price Discovery ◽  
Volatility Spillover ◽  
Index Futures

Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yosuke Kakinuma
Keyword(s):  
Southeast Asia ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Southeast Asian ◽  
Series Data ◽  
Financial Assets ◽  
Volatility Spillover ◽  
Content Type ◽  
Asset Classes

Purpose This study aims to provide empirical evidence on the return and volatility spillover effects between Southeast Asian stock markets, bitcoin and gold in the periods before and during the COVID-19 pandemic. The interdependence among different asset classes, the two leading stock markets in Southeast Asia (Singapore and Thailand), bitcoin and gold, is analyzed for diversification opportunities. Design/methodology/approach The vector autoregressive-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity model is used to capture the return and volatility spillover effects between different financial assets. The data cover the period from October 2013 to May 2021. The full period is divided into two sub-sample periods, the pre-pandemic period and the during-pandemic period, to examine whether the financial turbulence caused by COVID-19 affects the interconnectedness between the assets. Findings The stocks in Southeast Asia, bitcoin and gold become more interdependent during the pandemic. During turbulent times, the contagion effect is inevitable regardless of region and asset class. Furthermore, bitcoin does not provide protection for investors in Southeast Asia. The pricing mechanism and technology behind bitcoin are different from common stocks, yet the results indicate the co-movement of bitcoin and the Singaporean and Thai stocks during the crisis. Finally, risk-averse investors should ensure that gold constitutes a significant proportion of their portfolio, approximately 40%–55%. This strategy provides the most effective hedge against risk. Originality/value The mean return and volatility spillover is analyzed between bitcoin, gold and two preeminent stock markets in Southeast Asia. Most prior studies test the spillover effect between the same asset classes such as equities in different regions or different commodities, currencies and cryptocurrencies. Moreover, the time-series data are divided into two groups based on the structural break caused by the COVID-19 pandemic. The findings of this study offer practical implications for risk management and portfolio diversification. Diversification opportunities are becoming scarce as different financial assets witness increasing integration.

Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern?

2016 ◽  
Vol 6 (1) ◽  
pp. 42-54 ◽  
Author(s):  
Amarnath Mitra ◽  
Vishwanathan Iyer
Keyword(s):  
Stock Markets ◽  
Asia Pacific ◽  
Pacific Region ◽  
Volatility Spillover ◽  
Asia Pacific Region ◽  
Volatility Transmission ◽  
International Stock Markets

The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a period of 20 years, which includes both crisis (i.e., contagion form) and non-crisis periods. It also investigates whether the global transmission of volatility follows a pattern. The study contributes to the literature in two ways: (a) it provides a historical map of volatility transmission in the Asia-Pacific region and (b) it identifies the path and pattern of volatility spillover across stock markets in the Asia-Pacific region.

Volatility spillover between the US, Chinese and Australian stock markets

2017 ◽  
Vol 43 (2) ◽  
pp. 263-285 ◽  
Author(s):  
Emawtee Bissoondoyal-Bheenick ◽  
Robert Brooks ◽  
Wei Chi ◽  
Hung Xuan Do
Keyword(s):  
United States ◽  
Financial Services ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
The United States ◽  
Jel Classification ◽  
Volatility Spillover ◽  
Stock Market Volatility ◽  
Index Level ◽  
The Global Financial Crisis

We assess the stock market volatility spillover between three closely related countries, the United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one-way volatility spillover from the United States to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the global financial crisis (GFC), we find significant bilateral relationship across all of the industries across the three countries. JEL Classification: G15

scholarly journals Comparing The South African Stock Markets Response To Two Periods Of Distinct Instability The 1997-98 East Asian And Russian Crisis And The Recent Global Financial Crisis

2014 ◽  
Vol 13 (3) ◽  
pp. 427 ◽  
Author(s):  
Anmar Pretorius ◽  
Jesse De Beer
Keyword(s):  
Financial Crisis ◽  
South African ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
East Asian ◽  
Volatility Spillover ◽  
The South ◽  
Share Prices ◽  
Export Destination ◽  
The Global Financial Crisis

This paper compares the South African stock markets response to two periods of distinct instability, namely the East Asian and Russian crisis of 1997-98 and the global financial crisis of 2007-09. Considering share prices, the Johannesburg Securities Exchange (JSE) was more severely affected by the earlier crisis, when the domestic fundamentals were weaker. The low levels of foreign reserves were the main cause of concern. The paper further empirically investigates volatility spillover between the JSE and various developed and emerging stock markets during the two crisis periods, employing twelve separate bi-variate GARCH models. The main contributors to volatility spillover during the East Asian and Russian crisis were Mexico, Thailand, Brazil, and Germany predominantly emerging markets. During the second crisis period, Germany, US, Brazil, and UK played the dominant parts predominantly developed markets. The importance of Germany in both periods can be attributed to the countrys role as main export destination of South African goods in Europe.

scholarly journals A Network Analysis of the Asia-Pacific and Other Developed Stock Markets: Pre and Post Global Financial Crisis

2020 ◽  
Vol 9 ◽  
pp. 112-131
Author(s):  
Kousik Guhathakurtha ◽  
Sharad Nath Bhattacharya ◽  
Mousumi Bhattacharya
Keyword(s):  
Hong Kong ◽  
Financial Crisis ◽  
Portfolio Management ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Forecast Error ◽  
Asia Pacific ◽  
Volatility Spillover ◽  
Risk Transfer ◽  
Network Diagrams

This paper examines the volatility spillover and connectedness between Asia-Pacific, US, UK, and eurozone stock markets. A spillover index is built using forecast error variance decomposition in a vector autoregression framework and the spillover index is used to build network diagrams. It shows evidence of how the increase in risk transfer (volatility spillover) between the markets led to the global financial crisis and of the higher level of connectedness since. Network diagrams show the direction and strength of the connectedness. The network strength estimation enables us to understand the risk associated with connectedness across the markets in the event of a trigger and its influence in portfolio management decisions of international funds. The Chinese market appears to be the most insulated, while the South Korean, Hong Kong, and Singapore stock markets dominate in terms of risk transfer. The US, UK, EU, Singapore and Hong Kong are the top five volatility spillover recipient markets, both during pre and post global financial crisis periods. We find the market size to be irrelevant in the determination of the level of connectedness, whereas the role of geographical proximity cannot be ruled out. The findings are relevant to multinational investment strategies and in understanding the relative risk of investment in the Asia-Pacific region.

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