The asymmetric high-frequency volatility transmission across international stock markets

Jiawen Luo and Shengquan Wang

Finance Research Letters, 2019, vol. 31, issue C, 104-109

Abstract: We construct a MHAR-DCC model to investigate the high-frequency volatility transmission across international stock markets. We use the overnight volatility estimator to eliminate the effects of non-synchronous trading problem. We analyze the asymmetric volatility transmission effects across the international stock markets. The empirical results suggest that the periods when the total spillover index increases to high levels correspond to the periods when the market volatility is high. The volatility transmission effect in the US and Singapore stock markets exhibit the normal leverage effect, while the volatility transmissions of Japanese and Hong Kong stock markets exhibit the reverse leverage effect.

Keywords: Stock markets; MHAR-DCC model; Asymmetric volatility; High-frequency data (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:104-109

DOI: 10.1016/j.frl.2019.04.025

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