Global fear spillover

Kapronczay, Mór (2018) Global fear spillover. Outstanding Student Paper, BCE, Befektetések és Vállalati Pénzügy szekció.

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Free and unrestricted access: http://publikaciok.lib.uni-corvinus.hu/publikus/tdk/Kapronczay_Mor_TDK.pdf

Abstract

The main aim of this paper is to provide a deeper understanding of the way financial markets are connected. The author analyses the volatility time series of indices (S&P500, FTSE100, ASX200, TSX, DAX, Nikkei225, Shanghai Composite and JALSH) which represent the most important stock exchanges (New York SE, London SE, Sydney SX, Toronto SE, DAX, Tokyo SX, Shanghai SX, Johannesburg SE) all around the globe. By fitting a state-space model, the author can analyse the local factors as well as volatilities. This separation is important because that allows us to distinguish volatility stemming from local and global reasons. The DieboldYilmaz framework is then utilized and the different dynamics of connectedness of volatilities and that of local factors are identified. A rolling window analysis is then applied and it is shown that local factors can be just as much connected as volatilities. Finally, robustness checks are made and it is shown that the results are robust to choosing the order of the underlying VAR and the predictive horizon.

Item Type:Outstanding Student Paper
Notes:1. díj
Uncontrolled Keywords:volatility, spillover, stock indices, state-space model
Subjects:Finance
ID Code:11211
Deposited On:20 Jun 2018 12:44
Last Modified:20 Jun 2018 12:44

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