从发达市场到亚洲主要新兴市场波动传导的结构性突破

IF 1.2 Q3 BUSINESS, FINANCE
Dilip Kumar
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引用次数: 4

摘要

该研究调查了1996年至2015年期间发达市场(美国、英国和日本)向亚洲主要新兴市场(印度、中国、马来西亚、泰国和印度尼西亚)的波动性传导。我们利用开盘价、高价、低价和收盘价来估计无偏极值波动率估计量,并实现了异质自回归分布滞后(HAR-DL)框架来研究溢出效应。基于时变溢出分析,我们观察到重大危机期间溢出效应的突然变化。最初,我们发现了2007-2009年全球金融危机期间传染的证据。然而,在考虑了条件异方差后,我们观察到从发达市场到亚洲新兴市场的波动性传导强度有所下降。此外,传染病的最初证据已无法检测。我们还通过实施三种基于风险厌恶和冒险投资者的交易策略来测试研究结果的经济意义,这三种策略利用了基于HAR-DL规范的预测方差。我们的研究结果表明,基于美国和英国的滞后波动性成分,可以获得实质性的平均年化收益。JEL分类:C32、C58、G01、G15
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets
The study investigates the volatility transmission from developed markets (the United States [US], the United Kingdom [UK] and Japan) to the major Asian emerging markets (India, China, Malaysia, Thailand and Indonesia) during a period from 1996 to 2015. We make use of the opening, high, low and closing prices to estimate unbiased extreme value volatility estimator and implement heterogeneous autoregressive distributed lag (HAR-DL) framework to study the spillover effects. Based on time-varying spillover analysis, we observe sudden changes in the spillover effect during the periods of major crises. Initially, we find evidence of contagion during the period of global financial crisis of 2007–2009. However, after accounting for conditional heteroscedasticity, we observe a decline in the strength of volatility transmission from developed markets to the Asian emerging markets. Moreover, the initial evidence of contagion is not detectable anymore. We also test the economic significance of the findings by implementing three trading strategies based on risk averse and risk-taking investors that make use of the forecasted variance based on HAR-DL specification. Our findings indicate that substantial average annualised gains in returns can be earned based on the lagged volatility components of the USA and the UK. JEL Classification: C32, C58, G01, G15
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来源期刊
CiteScore
1.80
自引率
33.30%
发文量
19
期刊介绍: The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.
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