Journal articles: 'Volatility Linkage'

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Hung, Ngo Thai. "Return and volatility spillover across equity markets between China and Southeast Asian countries." Journal of Economics, Finance and Administrative Science 24, no. 47 (April 29, 2019): 66–81. http://dx.doi.org/10.1108/jefas-10-2018-0106.

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Purpose This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia). Design/methodology/approach The analysis uses a vector autoregression with a bivariate GARCH-BEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis. Findings The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis. Practical implications The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information. Originality/value This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research’s empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.

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Zeng, Hongjun. "Volatility Modelling of Chinese Stock Market Monthly Return and Investor Sentiment Using Multivariate GARCH Models." International Journal of Accounting & Finance Review 5, no. 1 (June 22, 2020): 123–33. http://dx.doi.org/10.46281/ijafr.v5i1.635.

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This article examines the linkage and volatility spillover among Chinese Stock Market Monthly Return and Investor Sentiment, investigating the effect dynamic links of various investor sentiment indicators and Chinese stock market return volatility. Employing the DCC and BEKK GARCH, we find investor sentiment is to some extent linked to the yield fluctuations of the Chinese stock market, but the volatility spillover is relatively weak. In the test period (2005-2020), we observe that several indicators do not explain their linkage effects with CSI 300 index of return fluctuations and volatility spillovers well, with no indicators can reflect both of these effects. Most indicators are linkage with the CSI 300 index, especially consumer confidence index (CCI), new investor account openings last month (NIA) and the volume of transactions last month (TURN) have significant linkage effects with the CSI 300 index. We also find that only the CCI index has a one-way volatility spillover on the CSI 300 index, and the CSI 300 index has no volatility spillover on any indicator.

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Zeng, Hongjun. "Volatility Modelling of Chinese Stock Market Monthly Return and Investor Sentiment Using Multivariate GARCH Models." International Journal of Accounting & Finance Review 5, no. 1 (June 27, 2020): 123–33. http://dx.doi.org/10.46281/ijafr.v5i1.643.

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This article examines the linkage and volatility spillover among Chinese Stock Market Monthly Return and Investor Sentiment, investigating the effect dynamic links of various investor sentiment indicators and Chinese stock market return volatility. Employing the DCC and BEKK GARCH, we find investor sentiment is to some extent linked to the yield fluctuations of the Chinese stock market, but the volatility spillover is relatively weak. In the test period (2005-2020), we observe that several indicators do not explain their linkage effects with CSI 300 index of return fluctuations and volatility spillovers well, with no indicators can reflect both of these effects. Most indicators are linkage with the CSI 300 index, especially consumer confidence index (CCI), new investor account openings last month (NIA) and the volume of transactions last month (TURN) have significant linkage effects with the CSI 300 index. We also find that only the CCI index has a one-way volatility spillover on the CSI 300 index, and the CSI 300 index has no volatility spillover on any indicator.

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Ding, Liang, Yirong Huang, and Xiaoling Pu. "Volatility linkage across global equity markets." Global Finance Journal 25, no. 2 (2014): 71–89. http://dx.doi.org/10.1016/j.gfj.2014.06.002.

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Etienne, Xiaoli Liao, Andrés Trujillo-Barrera, and Seth Wiggins. "Price and volatility transmissions between natural gas, fertilizer, and corn markets." Agricultural Finance Review 76, no. 1 (May 3, 2016): 151–71. http://dx.doi.org/10.1108/afr-10-2015-0044.

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Purpose – The purpose of this paper is to investigate the price and volatility transmission between natural gas, fertilizer (ammonia), and corn markets, an issue that has been traditionally ignored in the literature despite its significant importance. Design/methodology/approach – The authors jointly estimate a vector error correction model for the conditional mean equation and a multivariate generalized autoregressive heteroskedasticity model for the conditional volatility equation to investigate the interactions between natural gas, ammonia, and corn prices and their volatility. Findings – The authors find significant interplay between fertilizer and corn markets, while only a mild linkage in prices and volatility exist between those markets and natural gas during the period 1994-2014. There is not only a positive relationship between corn and ammonia prices in the short run, but both prices react to deviations from the long-run parity. Furthermore, the lagged conditional volatility of ammonia prices positively affects conditional volatility in the corn market and vice versa. This result is robust to a specification using crude oil price as an alternative to natural gas price to account for the large transportation cost built into ammonia prices. Results for the period of 2006-2014 indicate virtually no linkage between natural gas prices and those of fertilizer and corn during that period, while linkages in price level and volatility between the latter remain strong. Originality/value – This paper is the first in the literature to comprehensively examine the role of fertilizer on corn prices and volatility, and its relation to natural gas prices.

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Alaganar, Vaira T., and Ramaprasad Bhar. "Information and volatility linkage under external shocks." International Review of Financial Analysis 11, no. 1 (January 2002): 59–71. http://dx.doi.org/10.1016/s1057-5219(01)00070-9.

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Nguyen, Linh Xuan Diep, Simona Mateut, and Thanaset Chevapatrakul. "Business-linkage volatility spillovers between US industries." Journal of Banking & Finance 111 (February 2020): 105699. http://dx.doi.org/10.1016/j.jbankfin.2019.105699.

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Lee, Hsiu-Chuan, Chih-Hsiang Hsu, and Cheng-Yi Chien. "Spillovers of international interest rate swap markets and stock market volatility." Managerial Finance 42, no. 10 (October 10, 2016): 943–62. http://dx.doi.org/10.1108/mf-08-2015-0221.

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Purpose The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of swap markets contain useful information to explain subsequent stock price movements. Design/methodology/approach This study uses the short- and long-term swap spread volatility of the G7 countries to explore the spillover effects of international swap markets, and then investigates the relationship between swap and stock markets. The authors use the generalized VAR approach suggested by Diebold and Yilmaz (2012) to study spillovers of international swap markets. The Granger-causality tests are employed to examine the linkage of interest rate swap and stock markets. Findings This paper shows that a moderate spillover effect exists for the short- and long-term swap markets. Moreover, the results show that the short- and long-term swap markets of France and Germany have a larger impact on other countries’ swap markets than that of other countries’ swap markets on the French and German swap markets. Finally, the results indicate that the total volatility spillovers for the long-term swap markets have a larger influence on the total volatility spillover index of stock markets and the global stock market volatility than that of the short-term swap markets. Originality/value Prior literature has used impulse response and variance decomposition analyses to investigate international swap markets linkages. However, the results depend on the ordering of variables. This study uses the framework of Diebold and Yilmaz (2012) to overcome the ordering issue, and thus the authors can compute directional spillovers. This paper is the first study to explore the linkage of the total volatility spillover of swap markets and the stock markets.

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Latinovic, Milica, Vesna Bogojevic Arsic, and Milica Bulajic. "Volatility spillover effect in Western Balkans." Acta Oeconomica 68, no. 1 (March 2018): 79–100. http://dx.doi.org/10.1556/032.2018.68.1.4.

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This article examines volatility spillover among Western Balkan’s stock markets and selected developed markets. If there is an evidence of weak linkage between various markets, then there are potential benefits that could arise from international diversification. However, if we analyse the relationship between two markets that are different in terms of their economic development, and if there is a strong connection between them, market shocks from the developed markets can have an impact on the frontier/emerging markets. Market integration can be indicated with returns linkage and transmission of shocks and volatility between markets. Hence, this can have implications for investment strategies. It is found that there is statistically significant regional spillover between countries of the Western Balkan region. Also, there is global spillover between developed markets and this region as well. Furthermore, there is evidence that Western Balkan’s markets are late in response to important market events, and that can be used when formulating investment strategy.

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Saxena, Swami P., and Sonam Bhadauriya. "Inter — Linkage of FII Inflows and Stock Market Volatility." Asia Pacific Business Review 7, no. 3 (July 2011): 18–23. http://dx.doi.org/10.1177/097324701100700302.

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11

Park, Jaehwan. "Volatility Transmission between Oil and LME Futures." Applied Economics and Finance 5, no. 2 (January 21, 2018): 65. http://dx.doi.org/10.11114/aef.v5i2.2944.

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This paper investigates the volatility transmission between oil and base metals to assess the possibility of hedge strategy across commodity markets. In order to identify the volatility linkage of oil to the base metals, the bivariate GARCH model is applied using daily returns data period over 2000-2016. It is found that evidence of volatility transmission between oil and base metals is somewhat strong with a 1% significant level. This result suggests the investment idea of commodity hedging strategy of cross-market is important.

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12

Dhifaoui, Zouhaier, and Faicel Gasmi. "Linear and nonlinear linkage of conditional stochastic volatility of interbank interest rates: Empirical evidence of the BRICS countries." BRICS Journal of Economics 2, no. 2 (July 30, 2021): 4–16. http://dx.doi.org/10.38050/2712-7508-2021-2-1.

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The purpose of this article is to detect a possible linear and nonlinear causal relationship between the conditional stochastic volatility of log return of interbank interest rates for the BRICS countries in the period from January 2015 to October 2018. To extract the volatility of the analyzed time series, we use a stochastic volatility model with moving average innovations. To test a causal relationship between the estimated stochastic volatilities, two steps are applied. First, we used the Granger causality test and a vector autoregressive model (VAR). Secondly, we applied the nonlinear Granger causality test to the raw data to explore a new nonlinear causal relationship between stochastic volatility time series, and also applied it to the residual of the VAR model to confirm the causality detected in the first step. This study demonstrates the existence of some unidirectional/bidirectional linear/nonlinear causal relationships between the studied stochastic volatility time series.

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Srinivasan, Palamalai, and R. D. Vasudevan. "Linkage between India Implied Volatility Index and Stock Index Returns." Theoretical Economics Letters 07, no. 04 (2017): 929–38. http://dx.doi.org/10.4236/tel.2017.74063.

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14

Jiang, Xiaochun, Wei Sun, Peng Su, and Ting Wang. "The Synergy of Financial Volatility between China and the United States and the Risk Conduction Paths." Sustainability 11, no. 15 (August 1, 2019): 4151. http://dx.doi.org/10.3390/su11154151.

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Based on monthly data of six major financial variables from January 1996 to December 2018, this paper employs a structural vector autoregressive model to synthesize financial conditions indices in China and the United States, investigates fluctuation characteristics and the synergy of financial volatility using a Markov regime switching model, and further analyzes the transmission paths of the financial risk by using threshold regression. The results show that there is an approximately three-year cycle in the financial fluctuations of both China and the United States, and such fluctuations have a distinct asymmetry. Two thresholds were applied (i.e., 0.361 and 0.583), taking the synergy index (SI) as the threshold variable. The impact of the trade factor is significant across all thresholds and is the basis of financial linkages. When the SI is less than 0.361, the exchange rate factor is the main cause of the financial cycle comovement change. As the financial volatility synergy increases, the asset factor and interest rate factor start to become the primary causes. When the level of synergy breaks through 0.583, the capital factor based on stock prices and house price is still the main path of financial market linkage and risk transmission, but the linkage of monetary policy shows a restraining effect on synergy. Therefore, it is necessary to monitor the financial cycle and pay attention to the coordination between countries in terms of policy regulation.

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15

Grobys, Klaus, and Sami Vähämaa. "Another look at value and momentum: volatility spillovers." Review of Quantitative Finance and Accounting 55, no. 4 (April 8, 2020): 1459–79. http://dx.doi.org/10.1007/s11156-020-00880-2.

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Abstract This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period 1926–2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and that these shifts in spillover intensity can be linked to prominent economic events and financial market turmoil. Our results further demonstrate that value returns increase and momentum returns decrease monotonically with increasing volatility spillovers between the two strategies. Given this linkage between spillover intensity and returns, we propose a simple trading strategy which utilizes a volatility spillover index for allocating funds between value and momentum portfolios. The proposed trading strategy outperforms value and momentum strategies and generates payoffs that are not subject to option-like behavior.

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Zhang, Ping, Jieying Gao, Yanbin Zhang, and Te-Wei Wang. "Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach." Mathematical Problems in Engineering 2021 (April 9, 2021): 1–12. http://dx.doi.org/10.1155/2021/6616577.

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Due to the increasing linkage of China and the US stock markets today, we constructed a TVP-VAR model to study the dynamic spillover effects between the US stock volatility and China’s stock market crash risk. We found dynamic spillover effects are constantly strengthening between US stock volatility and China’s stock market crash risk: when the US stock volatility increases, China’s stock market crash risk increases. In addition, the gradual improvement of financial market openness in China, the short-term capital outflow from China, and the depreciation of the RMB exchange rate will increase China’s stock market crash risk. And, the impacts of short-term capital outflow from China are more significant. Further, the increase in China’s stock market crash risk will lead to the decline of the US stock volatility, which may be due to the flight to quality.

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Noor, Md Hasib, and Anupam Dutta. "On the relationship between oil and equity markets: evidence from South Asia." International Journal of Managerial Finance 13, no. 3 (June 5, 2017): 287–303. http://dx.doi.org/10.1108/ijmf-04-2016-0064.

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Purpose The purpose of this paper is to investigate the volatility linkage between global oil market and major South Asian equity markets. Design/methodology/approach In order to serve the purpose, the authors employ a recently developed vector autoregressive-generalized autoregressive conditional heteroskedastic model to examine whether shocks and volatility spill over from the oil market to various equity markets under consideration. Findings The findings of the empirical analysis suggest that all the markets studied do receive volatility from the oil market. Not surprisingly, the authors do not find any significant evidence of volatility transmission from the equity markets to the global oil market. Additionally, while computing the optimal portfolio weights and hedge ratios, the authors document that inclusion of oil in the portfolio of stocks tends to reduce the risk of the resultant portfolio. Originality/value Fully original.

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Blechschmitt, Florian, and Matthias F. Brauer. "Organizational Resilience: On the linkage between volatility absorption and performance recovery." Academy of Management Proceedings 2016, no. 1 (January 2016): 13179. http://dx.doi.org/10.5465/ambpp.2016.13179abstract.

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Han, Liyan, Jiayu Jin, Lei Wu, and Hongchao Zeng. "The volatility linkage between energy and agricultural futures markets with external shocks." International Review of Financial Analysis 68 (March 2020): 101317. http://dx.doi.org/10.1016/j.irfa.2019.01.011.

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Yu, Li, and Yuan ying Jiang. "Analysis of the Linkage between International Crude Oil and Chinese Industry Sector Indices under the COVID-19." Journal of Economics and Public Finance 8, no. 2 (March 31, 2022): p26. http://dx.doi.org/10.22158/jepf.v8n2p26.

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The sudden epidemic has a huge impact on the global economy. This paper takes the International crude oil and the SSE Industry Index as the research objects to explore the linkage between the two markets under COVID-19. We use DCC-GARCH to study the dynamic correlation between the two markets before and after the outbreak. The PCA-GARCH model is further used to verify whether there is a spillover effect between the two markets, and finally the time-varying spillover index is used to quantify the spillover effect. The results show that the epidemic has strengthened the overall connection between the two markets. In particular, the correlation between SSE Public and International crude oil has the greatest impact. During the epidemic, crude oil has the most volatility, and most of the volatility series can reach the peak state. There are positive spillover effects among SSE Material, SSE Energy, and SSE Industry. In the total spillover index table, the conclusion of the PCA-GARCH model is verified, that is, the spillover index value is larger when there is a spillover effect. After the outbreak, the total spillover index rose by 10%. Before and after the outbreak, crude oil changed from a volatility sender to a receiver.

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Thai Hung, Ngo. "Stock market volatility and exchange rate movements in the Gulf Arab countries: a Markov-state switching model." Journal of Islamic Accounting and Business Research 11, no. 9 (August 24, 2020): 1969–87. http://dx.doi.org/10.1108/jiabr-01-2020-0004.

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Purpose This paper aims to investigate the dynamic linkage between stock prices and exchange rate changes for the Gulf Arab countries (Kuwait, Qatar, Saudi Arabia and United Arab Emirates [UAE]). Design/methodology/approach The author uses the Markov-switching autoregression to detect regime-shift behavior in the stock returns of the Gulf Arab countries and Markov-switching vector autoregressive (MS-VAR) model to capture the dynamic interrelatedness between exchange and stock returns over the period 2000–2018. Findings This study’s analysis finds evidence to support the persistence of two distinct regimes for all markets, namely, a low-volatility regime and a high-volatility regime. The low-volatility regime illustrates more persistence than the high-volatility regime. Specifically, exchange rate changes do not have an influence on the stock market returns of the Gulf Arab countries, regardless of the regimes. On the other hand, stock market returns have a substantial impact on exchange markets for all countries, except Saudi Arabia, and it is more noticeable during the regime of high volatility. Practical implications The findings shed light on the interconnectedness between two of the most important financial markets in the complex international financial environment. They are thus of particular interest for economic policymakers and portfolio investors. Originality/value The author distinguishes this study from previous studies in several ways. First, while previous empirical studies of the dynamic linkage between stock prices and foreign exchange markets are primarily devoted to developed markets or emerging markets, this study’s interest is concentrated on four Gulf Arab financial markets (Kuwait, Qatar, Saudi Arabia and UAE). Second, unlike most investigations in the literature that only estimate this link for the whole period, this study attempts to estimate during the good and bad period by using a two-regime MS-VAR model. To the best of the author’s knowledge, this is the first study of the Gulf Arab countries on the stock and foreign exchange markets to apply this model.

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Chitre, Chetan. "Exchange Rate Disconnect Puzzle: A Review of Literature." IRA-International Journal of Management & Social Sciences (ISSN 2455-2267) 13, no. 3 (December 14, 2018): 90. http://dx.doi.org/10.21013/jmss.v13.n3.p3.

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<p><span lang="EN-GB">The exchange rate disconnect puzzle has been haunting economists for over four decades now. That the volatility in the movement of both real and nominal exchange rates has no linkage with macroeconomic fundamentals is a mystery. This paper selectively reviews the literature on attempts to resolve this puzzle.</span></p>

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Jung, Dae-Sung. "An Empirical Study on Return Spillovers among Asian foreign exchange markets." Korea International Trade Research Institute 18, no. 5 (October 31, 2022): 345–57. http://dx.doi.org/10.16980/jitc.18.5.202210.345.

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Purpose - This paper analyzes the connectivity of Asian foreign exchange markets using the volatility spillover index of Diebold and Yilmaz (2009/2012). Design/Methodology/Approach - The paper used exchange rate data for 11 Asian countries (Korea, Japan, Hong Kong, Singapore, Malaysia, China, Thailand, Indonesia, Taiwan, the Philippines, and Vietnam) and Australia. The data period is from January 2, 2015, to October 4, 2022. Analysis used the volatility spillover index model of Diebold and Yilmaz (2012). Findings - As a result, it was found that there were return spillovers in the Asian foreign exchange market, and the total volatility transfer is 59.5%. Singapore, Taiwan, Australia, Korea, Malaysia, Thailand, Indonesia, China, the Philippines, Japan, Vietnam, and Hong Kong have the highest outflow transfer effect in the Asian foreign exchange market, in that order. Singapore, Korea, Australia, Malaysia, Taiwan, Thailand, Indonesia, China, the Philippines, Vietnam, Japan, and Hong Kong have the highest inflow transfer effect, in that order. Singapore, Taiwan, Australia, Korea, Malaysia, and Thailand are the leading markets in the Asian foreign exchange market, while Vietnam, Japan, Hong Kong, China, the Philippines, and Indonesia are dependent markets in the Asian foreign exchange market. As a result of analyzing through a sample moving average analysis, it was found that the outbreak of COVID-19 and the WHO pandemic declaration had the strongest effect on the linkage of the foreign exchange market. Research Implications - This study empirically demonstrates the importance of linkages between markets for investors and policy makers in the foreign exchange market.

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Beaumont, Paul M., Stefan C. Norrbin, and F. Pinar Yigit. "Time series evidence on the linkage between the volatility and growth of output." Applied Economics Letters 15, no. 1 (November 27, 2007): 45–48. http://dx.doi.org/10.1080/13504850600607446.

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Abdullahi, Shafiu Ibrahim. "Measuring volatility linkage, clustering and sensitivity to external shocks in Nigerian stock index." International Journal of Financial Services Management 9, no. 4 (2019): 345. http://dx.doi.org/10.1504/ijfsm.2019.10024218.

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Abdullahi, Shafiu Ibrahim. "Measuring volatility linkage, clustering and sensitivity to external shocks in Nigerian stock index." International Journal of Financial Services Management 9, no. 4 (2019): 345. http://dx.doi.org/10.1504/ijfsm.2019.102457.

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Fung, Hung-Gay, and Gary A. Patterson. "Volatility linkage among currency futures markets during US trading and non-trading periods." Journal of Multinational Financial Management 9, no. 2 (March 1999): 129–53. http://dx.doi.org/10.1016/s1042-444x(98)00050-4.

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G Nagarakatte, Sangeetha, and Natchimuthu Natchimuthu. "Impact of Brexit on bond yields and volatility spillover across France, Germany, UK, USA, and India’s debt markets." Investment Management and Financial Innovations 19, no. 3 (August 29, 2022): 189–202. http://dx.doi.org/10.21511/imfi.19(3).2022.16.

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Britain’s decision to exit the EU lead to disruptions in global markets. This study investigates the change in the return and volatility spillover pattern due to the repercussions of the Brexit vote between the US, France, the UK, Germany, and India’s 10-year government bond yields by applying the VAR and GARCH-BEKK models. The findings demonstrate a substantial rise in the return spillover to India and USA 10-year government bond yields following the Brexit vote compared to the pre-Brexit vote era. In addition, the results showed evidence of unidirectional volatility spillover from India to France, bidirectional volatility spillover between the USA and India, and unidirectional volatility spillover from the UK to India 10-year government bond market post-Brexit vote. However, there was no interconnection between these markets before the Brexit vote. Therefore, the Brexit vote did affect and significantly increased the linkage between the US, France, the UK, and India’s 10-year government bond market. The increase in correlation in India-US, India-UK, and India-France’s 10-year government bond markets will help predict and have an important implication for hedgers, decision-makers, and portfolio managers if similar political events occur in the future.

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Vu, Thanh Nam. "Impact of Crude Oil Price Volatility on Southeast Asian Stock Returns." International Journal of Economics and Finance 11, no. 4 (March 13, 2019): 40. http://dx.doi.org/10.5539/ijef.v11n4p40.

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The study investigates the connection between international oil indices and Southeast Asian stock markets. The outcomes of both employed models, namely EGARCH and GARCH-jump, confirm the significant oil-stock linkage in Southeast Asian region. While the oil price fluctuations have positive effect on stock returns, the impacts of the implied crude oil volatility index (OVX) are negative, implying that the increase in level of future oil prices uncertainty leads to downward movement on stock markets. Additionally, the study further reports the existence of GARCH effects in Southeast Asian stock markets. The results from EGARCH models illustrate that the previously negative shocks seem to have greater effects on the current volatility of stock returns in analyzed countries than the positive shocks. Furthermore, the jump effects are found in most markets, as evidenced by the estimates for GARCH-jump models. Generally, the volatility driven by abnormal information positively affects the volatility of return while the jump behavior has negative impact on return in Southeast Asian markets. Providing greater understandings about new markets in Southeast Asian area, the research could be utilized in improving investment decisions and gaining the advantages of international portfolio diversification.

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Bal, Gnyana Ranjan, Amit Manglani, and Malabika Deo. "Asymmetric Volatility Spillover between Stock Market and Foreign Exchange Market: Instances from Indian Market from Pre-, during and Post- Subprime Crisis Periods." Global Business Review 19, no. 6 (August 28, 2018): 1567–79. http://dx.doi.org/10.1177/0972150918789986.

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Modern businesses are so inter-twined that a cause in one market affects other markets throughout the Globe. The 2008 subprime crisis is one of such evidences of inter-linkage of global markets. Such type of event motivates many studies to analyse the transmission of volatility from one market to another market. The study aims to analyse the volatility spillover effect between CNX Nifty and exchange rates covering for three different currencies, that is, USD, GBP and yen. GARCH (1,1) and EGARCH (1,1) have been used to identify the spillover effect and asymmetries or leverage effect in the volatility transmission through the estimation of different parameters. The overall findings show that there is spillover between the foreign exchange and the stock market. Among the three exchange rates, the USDR is strongly co-related with the Indian stock market as compared to other rates. Our study will significantly contribute to the existing literature in this context. The findings of the study have greater implications especially for hedgers, arbitrators and other participants in this market. As such type of information regarding transmission of volatility can help them to diversify their overseas risk through an optimal portfolio selection.

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Abbas, Ghulam, David G. McMillan, and Shouyang Wang. "Conditional volatility nexus between stock markets and macroeconomic variables." Journal of Economic Studies 45, no. 1 (January 8, 2018): 77–99. http://dx.doi.org/10.1108/jes-03-2017-0062.

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Purpose The purpose of this paper is to analyse the relation between stock market volatility and macroeconomic fundamentals for G-7 countries using monthly data over the period from July 1985 to June 2015. Design/methodology/approach The empirical methodology is based on two steps: in the first step, the authors obtain the conditional volatilities of stock market returns and macroeconomic variables through the GARCH family of models. The authors also incorporate the impact of early 2000s dotcom and the global financial crises. In the second step, the authors estimate multivariate vector autoregressive model to analyze the dynamic relation between stock markets return and macroeconomic variables. Findings The overall results for G-7 countries indicate a weak volatility transmission from macroeconomic factors to stock market volatility at individual level but the collective impact of volatility transmission is highly significant. Although, the results of block exogeneity indicate a bidirectional causality except UK, but the causal linkage is quite weak from stock market to macroeconomic variables. Moreover, the local financial variables excluding interest rate are closely integrated, and the volatility of industrial production growth and oil price are identified as the most significant macroeconomic factors that could possibly influence the directions of stock markets. Originality/value This research establishes the nature of the links between stock market and macroeconomic volatility. Research to date has been unable to satisfactorily establish the empirical nature of such links. The authors believe this paper begins to do this.

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YIN, Kedong, Zhe LIU, and Peide LIU. "TREND ANALYSIS OF GLOBAL STOCK MARKET LINKAGE BASED ON A DYNAMIC CONDITIONAL CORRELATION NETWORK." Journal of Business Economics and Management 18, no. 4 (August 27, 2017): 779–800. http://dx.doi.org/10.3846/16111699.2017.1341849.

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The paper analyses the trend of global stock market linkages via daily data of 51 stock indices spanning the period 22 July 2005 to 30 June 2016 which covers four regions: America, Europe, Asia Pacific and Africa. A dynamic conditional multivariate generalized autoregressive conditional heteroskedasticity (DCC-MVGARCH) approach was used to calculate dynamic correlation coefficient in order to construct the volatility networks. The methods of minimum spanning tree (MST) and low pass filter were for the first time applied to analyze the variable periodicity of the comovement. The original contribution of this paper is that contrary to previous works, financial events such as Quantitative Easing (QE) and Bailouts are accounted for rather than only crisis factors such as the 2008 financial crisis and the European Debt crisis. The main findings of the paper are as follows: (1) Financial crisis promotes and strengthens global stock markets linkage in the short run; (2) Linkage cycles post crisis are significantly short, due to the effect of monetary policy spillover effects caused by QE from developed to developing countries; and (3) European stock markets are the information transmission hub for global stock market. The research conclusions would be significant for both government to regulate markets as well as for investors to diversify risks.

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Simion, Luciana, and Mihai Antonia. "The Effects of the Political Turbulences on the Stock Exchange Indices." Proceedings of the International Conference on Business Excellence 16, no. 1 (August 1, 2022): 1376–89. http://dx.doi.org/10.2478/picbe-2022-0125.

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Abstract Political turbulence is known to influence the velocity of economic development and reduce investments. Our paper aims to point up the linkage between political instability and the evolution of the Romanian capital market. We model the volatility of two of the Bucharest Stock Exchange indices BET and BET-NG using a GARCH/ARCH approach for daily data between 2010 and 2021. Results highlight the interconnections between political and economic policy uncertainty and the financial market. In both cases, for BET and BET-NG, our study shows that different types of political events have different levels of influence on the indices’ volatility. Unexpected “shock” type events with negative impacts resulted in much higher volatility than positive events. When there were events that had fiscal connotations, they had a much greater power of penetration in the investment environment because it comes down to figures and calculations that had a direct, measurable impact. There is a need for political involvement, certainty, lack of ambiguity, and predictability, both from a legislative point of view and how it is applied.

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이경희 and Kyung Soo Kim. "A study on the Linkage of Volatility in Stock Markets under Global Financial Crisis." Management & Information Systems Review 33, no. 1 (March 2014): 139–55. http://dx.doi.org/10.29214/damis.2014.33.1.008.

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Ji, Qiang, Dayong Zhang, and Jiang-bo Geng. "Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets." Journal of Cleaner Production 198 (October 2018): 972–78. http://dx.doi.org/10.1016/j.jclepro.2018.07.126.

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Boumediene, Aniss. "Financing government budget deficit as a liquidity risk mitigation tool for Islamic Banks." International Journal of Islamic and Middle Eastern Finance and Management 8, no. 3 (August 17, 2015): 329–48. http://dx.doi.org/10.1108/imefm-04-2014-0038.

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Purpose – The purpose of the paper is to construct a framework constituting a link between Islamic banks’ excess liquidity and states’ financing needs, in an Islamic way.evel0. Design/methodology/approach – The framework, constituting a linkage between Islamic banks’ funding capacity and governments’ financing needs, is constructed using a money market approach. Later on, the volatility of existing sovereign Sukuk is compared to corporate Sukuk, using generalized autoregressive conditional heteroskedasticity (GARCH) (1, 1) model, to assess the stability of the secondary market for Islamic government securities. Findings – The volatility is weak for the Sukuk studied; this means that there is stability of the secondary market for Sukuk (sovereign and corporate). Originality/value – This is the first paper that presents a framework dealing directly with Muslim states’ budget deficit and debt. The framework includes Islamic banks, public companies, the central bank, Ministry of Finance and the government.

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Singh, Kamaljit, and Vinod Kumar. "Dynamic linkage between nifty-fifty and sectorial indices of national stock exchange." American Journal of Economics and Business Management 3, no. 2 (March 25, 2020): 17–27. http://dx.doi.org/10.31150/ajebm.v3i2.148.

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The main objective of this paper is to analyze the trend and pattern of the Nifty-Fifty and sectorial indices. An attempt has been also made to find out the causal relationship among the Nifty-Fifty and NSE sectorial Indices. The unit root test and Granger-causality test has been applied to check the causal relationship between Nifty-Fifty and sectorial indices. The finding of the study shows that the financial service sector had performed better and followed by the banking sector among all the indices while the Pharma sector and the Realty sector were Under-performed in comparison to other indices. The Nifty-Fifty has been found less volatile in comparison to other sectorial indices however Realty sector indices show the highest volatility during the study period.

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Nouman, Muhammad, Maria Hashim, Vanina Adoriana Trifan, Adina Eleonora Spinu, Muhammad Fahad Siddiqi, and Farman Ullah Khan. "Interest rate volatility and financing of Islamic banks." PLOS ONE 17, no. 7 (July 26, 2022): e0268906. http://dx.doi.org/10.1371/journal.pone.0268906.

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Despite a direct ban on charging interest, interest-based benchmarks are used as a pricing reference by a majority of Islamic banks, due in part to the absence of stable and widely- published alternatives. Benchmarking interest rate exposes Islamic banks to the problems of conventional banks, particularly the interest rate risk. Against this backdrop, the present study empirically examines the dynamic linkage between the interest rate volatility and the financing of Islamic banks. The empirical analysis is carried using evidence from the Islamic banking industry of Pakistan during the time period 2006–2020. The multivariate Johansen and Jusiles Co-integration test and Vector Error Correction Model (VECM) are used as the baseline econometric models. Moreover, the DCC-GARCH model is employed for robustness and ensuring the consistency of results. The results indicate that a significant long-term and short-term relationship exists between the interest rate volatility and the financing of Islamic banking industry providing significant evidence for co-movements and convergence. These findings suggest that paradoxical as it may seem, the financing of Islamic banks operating within a dual banking system is subject to interest rate risk, mainly due to benchmarking interest rate, which in-turn makes Islamic banks vulnerable to the rate of return risk and withdrawal risk. Moreover, corporate financing, in particular, is more vulnerable to interest rate risk.

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Vo, Long Hai, and Duc Hong Vo. "Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data." Risks 8, no. 3 (August 26, 2020): 89. http://dx.doi.org/10.3390/risks8030089.

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Long-range dependency of the volatility of exchange-rate time series plays a crucial role in the evaluation of exchange-rate risks, in particular for the commodity currencies. The Australian dollar is currently holding the fifth rank in the global top 10 most frequently traded currencies. The popularity of the Aussie dollar among currency traders belongs to the so-called three G’s—Geology, Geography and Government policy. The Australian economy is largely driven by commodities. The strength of the Australian dollar is counter-cyclical relative to other currencies and ties proximately to the geographical, commercial linkage with Asia and the commodity cycle. As such, we consider that the Australian dollar presents strong characteristics of the commodity currency. In this study, we provide an examination of the Australian dollar–US dollar rates. For the period from 18:05, 7th August 2019 to 9:25, 16th September 2019 with a total of 8481 observations, a wavelet-based approach that allows for modelling long-memory characteristics of this currency pair at different trading horizons is used in our analysis. Findings from our analysis indicate that long-range dependence in volatility is observed and it is persistent across horizons. However, this long-range dependence in volatility is most prominent at the horizon longer than daily. Policy implications have emerged based on the findings of this paper in relation to the important determinant of volatility dynamics, which can be incorporated in optimal trading strategies and policy implications.

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MESUT ALPER, GEZER. "Linkage between Gold and Stock Return: Evidence from Nonlinear Causality and Rolling Window Volatility Spillover." ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH 56, no. 2/2022 (June 20, 2022): 165–78. http://dx.doi.org/10.24818/18423264/56.2.22.11.

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Zhang, Weiping, Xintian Zhuang, Yang Lu, and Jian Wang. "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework." International Review of Financial Analysis 71 (October 2020): 101454. http://dx.doi.org/10.1016/j.irfa.2020.101454.

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TAVITS, MARGIT. "On the linkage between electoral volatility and party system instability in Central and Eastern Europe." European Journal of Political Research 47, no. 5 (August 2008): 537–55. http://dx.doi.org/10.1111/j.1475-6765.2008.00782.x.

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Fang, Yuan, Yahong Fan, Dehong Yu, Jing Shen, Wankun Jiang, and Degui Yu. "Impact of farmers’ benefits linking stability on cloud farm platform of company to farmer model." Agricultural Economics (Zemědělská ekonomika) 66, No. 9 (September 26, 2020): 424–33. http://dx.doi.org/10.17221/68/2020-agricecon.

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China has formed a new C2F (company-to-farmer) model of internet and agriculture. How to build a sustainable linkage of the C2F platform is important for promoting agricultural industrialization. Based on the cognition theory and internet thinking, we characterized the linkage mechanism and stability framework of the C2F regarding default proportion, benefits fairness and benefits gap. Using the logistic regression method, we constructed the impact effect model of benefit links stability based on the farmers’ characteristics, platform cognition and social environment. We found that in the C2F, optimizing farmers’ age structure (17.93%, impact effect), increasing farmers’ income level (16.79%), as well as improving farmers’ education level (14.33%), policy support (11.35%), platform service quantity (9.82%), market volatility (9.11%), platform transaction transparency (9.07%), farmers’ risk tolerance (7.93%), and platform technical guidance effect (3.67%) had a significant impact on reducing default proportion (28.13%) and benefits gap (36.55%), thus heightening benefits fairness (35.32%). The research suggested, we should promote the sustainability of C2F by improving the farmers’ digital ability and platform function, developing innovative linkage mechanisms between companies and farmers, strengthening government guidance, and protecting the policy environment.

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Akanni, Lateef Olawale. "Returns and volatility spillover between food prices and exchange rate in Nigeria." Journal of Agribusiness in Developing and Emerging Economies 10, no. 3 (April 30, 2020): 307–25. http://dx.doi.org/10.1108/jadee-04-2019-0045.

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PurposeEmpirical studies have documented the linkage between exchange rate movement and food prices. However, the purpose of this study is to investigate the degree and direction of returns and volatility spillover transmission between exchange rate and domestic food prices in Nigeria.Design/methodology/approachThe study uses weekly data from January 2010 to January 2019. Also, the study adopts the improved Diebold and Yilmaz (2012) approach to evaluate the return and volatility spillover between food price and naira to dollar exchange rate. The study also account for 2016 exchange rate crash in the interconnectedness between food prices and naira to dollar exchange rate.FindingsThe paper finds evidence of directional interdependence among the considered food prices and exchange rate based on the obtained spillover indexes. In addition, exchange rate returns and volatility transmission to food prices is more than it receives, particularly after the exchange rate crash.Research limitations/implicationsThe high consumption of staple foods requires policies on price stabilisation such as massive investment in local production and reduction in import dependence, in order to cushion the effects of exchange rate depreciation on domestic prices of food.Originality/valueThis study is the first empirical study to investigate the interconnectedness between exchange rate and domestic food prices for a food import–dependent developing country using the Diebold and Yilmaz approach.

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Hasan, Mudassar, Muhammad Abubakr Naeem, Muhammad Arif, Syed Jawad Hussain Shahzad, and Safwan Mohd Nor. "Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities." Mathematics 8, no. 11 (October 31, 2020): 1904. http://dx.doi.org/10.3390/math8111904.

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The implied volatility index is a forward-looking indicator of fear among stock market participants. We examine the extent to which the connectedness of fear among global stock markets is driven by the cross-country connectedness of economic policy uncertainty (EPU). We use data on stock market fear and EPU indices for 13 countries, which spans from January 2011 to December 2018. To measure the connectedness among stock market fear and EPU of our sample countries, we employ two connectedness models. A cross-sectional regression model is further employed to ascertain the extent to which EPU connectedness between two countries explains the connectedness of fear between their stock markets, while controlling for bilateral linkage and country-specific factors. We find that EPU connectedness between any two partner countries significantly drives the connectedness of fear between their stock markets. The driving potential not only holds for short- and long-term connectedness, but also after controlling for bilateral linkages (bilateral trade, geographical distance, common language) and country-specific (trade and financial openness of the transmitter country) factors indicating robustness in our results.

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Liu, Jing, Xin Ding, Xiaoqian Song, Tao Dong, Aiwen Zhao, and Mi Tan. "Research on the Spillover Effect of China’s Carbon Market from the Perspective of Regional Cooperation." Energies 16, no. 2 (January 8, 2023): 740. http://dx.doi.org/10.3390/en16020740.

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After the official launch of China’s unified carbon market, the potential for carbon emission reduction is huge. The pilot regional markets urgently need to be connected with the national carbon market to form a regional synergy and linkage mechanism and further promote the development of a unified carbon market. Spillover effects can be used to analyze the interaction between multiple markets. In this context, this study focuses on the overall spillover relationship among regional carbon trading markets. Using the VAR-GARCH-BEKK model and social network analysis (SNA), this study empirically analyzes the mean spillover effect and volatility spillover effect of regional carbon markets, and it establishes a spillover network between markets. The results show that the spillover effect of China’s regional carbon markets is widespread. Among them, the mean spillover effect is weak, and the impact period is short;. The volatility spillover effect is strong and has various directions; the spillover network connection between regional carbon markets is strong, but the spillover intensity is weak. Spillover effects will spread to the overall carbon market through information spillover paths and risk spillover paths. The stronger spillover effect and the stronger linkage between markets can bring more resource integration and unified supervision. Finally, we put forward policy recommendations, such as improving the carbon market mechanism and enhancing the maturity of carbon market development, increasing the participation and activity of the carbon market to encourage more participants to join the carbon market, improving the institutional system of the carbon market, and effectively supervising the process of information and risk spillover between carbon markets.

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Bell, David A. "Evaluation Influence: The Evaluation Event and Capital Flow in International Development." Evaluation Review 41, no. 6 (November 21, 2017): 568–92. http://dx.doi.org/10.1177/0193841x17740028.

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Background: Assessing program effectiveness in human development is central to informing foreign aid policy-making and organizational learning. Foreign aid effectiveness discussions have increasingly given attention to the devaluing effects of aid flow volatility. This study reveals that the external evaluation event influences actor behavior, serving as a volatility-constraining tool. Method: A case study of a multidonor aid development mechanism served examining the influence of an evaluation event when considering anticipatory effects. The qualitative component used text and focus group data combined with individual interview data (organizations n = 10, including 26 individuals). Quantitative data included financial information on all 75 capital investments. The integrated theory of influence and model of alternative mechanisms used these components to identify the linkage between the evaluation event and capital flow volatility. Results: Aid approved in the year of the midterm evaluation was disbursed by the mechanism with low capital volatility. Anticipating the evaluation event influenced behavior resulting in an empirical record that program outcomes were enhanced and the mechanism was an improved organization. Implications: Formative evaluations in a development program can trigger activity as an interim process. That activity provides for a more robust assessment of ultimate consequence of interest. Anticipating an evaluation can stimulate donor reality testing. The findings inform and strengthen future research on the influence of anticipating an evaluation. Closely examining activities before, during, and shortly after the evaluation event can aid development of other systematic methods to improve understanding this phenomenon, as well as improve donor effectiveness strategies.

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Gao, Xiang, Weige Huang, and Hua Wang. "Financial Twitter Sentiment on Bitcoin Return and High-Frequency Volatility." Virtual Economics 4, no. 1 (January 31, 2021): 7–18. http://dx.doi.org/10.34021/ve.2021.04.01(1).

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This paper studies how sentiment affect Bitcoin pricing by examining, at an hourly frequency, the linkage between sentiment of finance-related Twitter messages and return as well as the volatility of Bitcoin as a financial asset. On the one hand, there was calculated the return from minute-level Bitcoin exchange quotes and use of both rolling variance and high-minus-low price to proxy for Bitcoin volatility per each trading hour. On the other hand, the mood signals from tweets were extracted based on a list of positive, negative, and uncertain words according to the Loughran-McDonald finance-specific dictionary. These signals were translated by categorizing each tweet into one of three sentiments, namely, bullish, bearish, and null. Then the total number of tweets were adopted in each category over one hour and their differences as potential Bitcoin price predictors. The empirical results indicate that after controlling a list of lagged returns and volatilities, stronger bullish sentiment significantly foreshadows higher Bitcoin return and volatility over the time range of 24 hours. While bearish and neutral financial Twitter sentiments have no such consistent performance, the difference between bullish and bearish ratings can improve prediction consistency. Overall, this research results add to the growing Bitcoin literature by demonstrating that the Bitcoin pricing mechanism can be partially revealed by the momentum on sentiment in social media networks, justifying a sentimental appetite for cryptocurrency investment.

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Liu, Shiyun. "The Linkage between Crude Oil and Stock market: Evidence from China and the United States." BCP Business & Management 19 (May 31, 2022): 407–16. http://dx.doi.org/10.54691/bcpbm.v19i.832.

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The global crude oil and stock markets have been extremely volatile in recent years, with prices fluctuating rapidly. We considered the linkages between the crude oil market and the stock market in China and the US, applying a time-varying t-Copula-GARCH model based on the Chinese INE crude oil futures price and the SSEC, and American WTI crude oil futures price and the S&P 500. We found that there are positive correlations between crude oil and stock markets in both China and the United States. Although the linkages between the two markets are weaker in China than in the United States, the magnitude of the changes and the volatility are larger. In addition, the linkages between the two markets in China and the U.S. increase significantly under extreme risk events such as the COVID-19 pandemic. These findings enrich the research on the linkages between commodity and stock markets.

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Paliwal, Minakshi, and S. D. Vashishtha. "FIIs and Indian Stock Market: A Causality Investigation." Comparative Economic Research. Central and Eastern Europe 14, no. 4 (May 11, 2012): 5–24. http://dx.doi.org/10.2478/v10103-011-0024-0.

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While the volatility associated with portfolio capital flows is well known, there is also a concern that foreign institutional investors might introduce distortions in the host country markets due to the pressure on them to secure capital gains. In this context, present chapter attempts to find out the direction of causality between foreign institutional investors (FIIs) and performance of Indian stock market. To facilitate a better understanding of the causal linkage between FII flows and contemporaneous stock market returns (BSE National Index), a period of nineteen consecutive financial years ranging from January 1992 to December 2010 is selected. Granger Causality Test has been applied to test the direction of causality.

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Journal articles on the topic 'Volatility Linkage'

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