Survey of Volatility and Spillovers on Financial Markets

Kočenda, Evžen

doi:10.18267/j.pep.650

Cited by 4 publications

(1 citation statement)

References 72 publications

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“…The standard deviation is used in studies which assume that volatility is constant time-series, whereas dynamic conditional variance or residual is used in studies which assume that volatility varies over time. Financial assets that have higher volatility indicate that the assets have higher risk (Kočenda, 2017). Economic and especially financial time series are prone to exhibit periods of high and low volatility.…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility spillovers under difference in the degree of market integration: Evidence from the selected Asian and Eastern European stock markets

Muharam¹,

Mawardi²,

Arfinto³

et al. 2019

Journal of International Studies

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This research aims to investigate volatility transmitted from the world market to ten Asian and Eastern European stock markets and from major stock market in the region to the rest of stock markets by considering their degree of integrations. To assess this, we apply GARCH(p,q) model and involve dynamic conditional correlation (DCC) model to generate the dynamic degree of integration. The monthly market indices data over the period from May 2002 to March 2018 are taken from 11 markets --5 Asian ones (China, Indonesia, Malaysia, Pakistan, and the Philippines), 5 Eastern European (Czech Republic, Poland, Romania, Russia, and Ukraine), and the world market data. Furthermore, the volatility spillover was analysed during the global financial crisis period, from The findings show that volatility spillovers from the world and the major regional markets to domestic stock markets are conditional on the degree of integrations. Specifically, there is no volatility spillover from the world and regional major markets on segmented Volatility spillovers under difference in the degree of market integration: Evidence from… 135 stock markets. In contrast, domestic stock markets which are integrated could experience the volatility spillover. Moreover, this confirms for both crisis circumstances and the overall period.

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Section: Literature Reviewmentioning

confidence: 99%