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Jump Spillover in International Equity Markets

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  • Hossein Asgharian
  • Christoffer Bengtsson

Abstract

In this article we study jump spillover effects between a number of country equity indexes. In order to identify the latent historical jumps of each index, we use a Bayesian approach to estimate a jump-diffusion model on each index. We look at the simultaneous jump intensities of pairs of countries and the probabilities that jumps in large countries cause jumps or unusually large returns in other countries. In all cases, we find significant evidence of jump spillover. In addition, we find that jump spillover seems to be particularly large between countries that belong to the same regions and have similar industry structures, whereas, interestingly, the sample correlations between the countries have difficulties in capturing the jump spillover effects. Copyright 2006, Oxford University Press.

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Bibliographic Info

Article provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.

Volume (Year): 4 (2006)
Issue (Month): 2 ()
Pages: 167-203

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Handle: RePEc:oup:jfinec:v:4:y:2006:i:2:p:167-203

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Cited by:
  1. Vindel, Jose M. & Trincado, Estrella, 2010. "The timing of information transmission in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(24), pages 5749-5758.
  2. Chris Brooks & Marcel Prokopczuk, 2011. "The Dynamics of Commodity Prices," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2011-09, Henley Business School, Reading University.
  3. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Knut Wicksell Working Paper Series, Knut Wicksell Centre for Financial Studies, Lund University 2013/3, Knut Wicksell Centre for Financial Studies, Lund University.
  4. Asgharian, Hossein & Nossman, Marcus, 2011. "Risk contagion among international stock markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(1), pages 22-38, February.
  5. Larsson, Karl & Nossman, Marcus, 2011. "Jumps and stochastic volatility in oil prices: Time series evidence," Energy Economics, Elsevier, Elsevier, vol. 33(3), pages 504-514, May.
  6. Liu, Lu, 2013. "International stock market interdependence: Are developing markets the same as developed markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 26(C), pages 226-238.
  7. Pukthuanthong, Kuntara & Roll, Richard, 2012. "Internationally correlated jumps," Working Paper Series, European Central Bank 1436, European Central Bank.
  8. Liu, Qingfu & Tu, Anthony H., 2012. "Jump spillovers in energy futures markets: Implications for diversification benefits," Energy Economics, Elsevier, Elsevier, vol. 34(5), pages 1447-1464.
  9. Jian Zhou, 2013. "Extreme risk spillover among international REIT markets," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 23(2), pages 91-103, January.

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