International stock market volatility: A global tail risk sight

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2023-12-28 DOI:10.1016/j.intfin.2023.101904

Xinjie Lu , Qing Zeng , Juandan Zhong , Bo Zhu

引用次数: 0

Abstract

This paper constructs a global tail risk (GTR) index and investigates the role of GTR in predicting the volatility of international stock markets. The results emphasize that GTR contains valuable information to predict the stock volatility of group (7) (G7) countries. In addition, accounting for the information of GTR and regime switching together can further improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime switching. The results are robust in different robustness checks and even during the global financial crisis period. Our paper tries to provide new evidence for tail risk in international stock market volatility prediction.

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国际股市波动：全球尾部风险视角

本文构建了全球尾部风险（GTR）指数，并研究了 GTR 在预测国际股票市场波动方面的作用。研究结果表明，GTR 包含了预测七国集团（G7）国家股票波动的有价值信息。此外，同时考虑 GTR 和制度转换的信息可以进一步提高对国际股市波动的预测精度，特别是考虑到时变制度转换。在不同的稳健性检验中，甚至在全球金融危机期间，结果都是稳健的。本文试图为国际股市波动预测中的尾部风险提供新的证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.

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