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Yarovaya, Larisa; Brzeszczynski, Janusz; Lau, Chi Keung (2016)
Publisher: Elsevier
Languages: English
Types: Article
Subjects: N300

Classified by OpenAIRE into

mesheuropmc: health care economics and organizations
This paper investigates the channels of volatility transmission across stock index futures in 6 major developed and emerging markets in Asia. We analyse whether the popular volatility spillovers tests are susceptible to the choice of range volatility estimators. Our results demonstrate strong linkages between markets within the Asian region, indicating that the signal receiving markets are sensitive to both negative and positive volatility shocks, which reveals the asymmetric nature of volatility transmission channels. We find that some markets play a destabilizing role while other countries - contrary to popular belief - have a stabilizing effect on other markets in Asia.

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