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Jump Interdependencies: Stochastic linkages among international stock markets
, Saranya Kshatriya
Published in Elsevier Inc.
2021
Volume: 57
   
Abstract
This study investigates the volatily jump contagion among the Asian, European (Germany, UK, & France) and US markets. In particular, it examines the stochastic linkages among the international stock markets and analyzes the self and cross-excitation of jumps. The discontinuities in the stochastic volatility of each market are identified and their structural inter-dependencies are analyzed. Our empirical results imply that negative jumps from the USA and Europe are transmitted to the domestic Asian markets, while positive jumps are majorly from the regional markets. Results also imply that the cross-market linkages vary with respect to markets and regimes. Our results have implications for risk management, investment and hedging decisions. © 2021 Elsevier Inc.
About the journal
JournalData powered by TypesetNorth American Journal of Economics and Finance
PublisherData powered by TypesetElsevier Inc.
ISSN10629408
Open AccessNo