1. Asymmetric risk spillovers and its determinants in global equity markets.
- Author
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Gong, Xue, Zeng, Xin, Xu, Weijun, and Zhang, Weiguo
- Subjects
- *
EXPORT marketing , *MARKET volatility , *FINANCIAL crises , *INTERNATIONAL markets , *EMERGING markets , *MATHEMATICAL connectedness , *DETERMINANTS (Mathematics) - Abstract
This study examines the asymmetric volatility spillover effect using realized measures across 22 international stock markets. The findings suggest a high connectedness among global equity markets, with downside risk spillover significantly higher than upside risk spillover over time. Besides, Europe has a higher connectedness than the American and Asia-Pacific markets, and risk contagion is from the European and American developed markets to the Asia-Pacific regions. The study further identifies implied volatility index and market liquidity as the main positive determinants of risk spillover, which are robust across different rolling window lengths and horizons. We also find that the explanatory power is more significant during financial crises. • High-frequency data is used to analyze global asymmetric volatility spillover effects. • Over time, downside risk spillover surpasses upside risk spillover significantly. • Risk contagion is from the developed markets to the Asia-pacific regions. • Developed markets connected better than emerging markets. • VIX and market liquidity in risk-transmitting markets drive volatility spillover. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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