TITLE:
Characterizing the Volatility Transmission across International Stock Markets
AUTHORS:
Amarnath Mitra, Vishwanathan Iyer, Anto Joseph
KEYWORDS:
Volatility Spillover, Financial Contagion, Volatility Pattern
JOURNAL NAME:
Theoretical Economics Letters,
Vol.5 No.4,
August
24,
2015
ABSTRACT: The present study attempts to track the transmission
of volatility across major international stock markets over a span of 20 years, which includes
both crisis (contagion form) and non-crisis periods.
It also investigates whether global transmission of volatility follows a
pattern. The study uses bi-variate EGARCH model in order to capture
spillover between a pair of stock markets and the estimation window is one year
with a sliding frequency of one quarter. The results show that, there is a spillover
of volatility between international stock markets at all times. Results also indicate
that in almost all cases, the pattern of spillover is non-random. Finally, the
study characterizes the spillover pattern
between international stock markets using suitable theoretical distributions.