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The asymmetric high-frequency volatility transmission across international stock markets

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  • Luo, Jiawen
  • Wang, Shengquan

Abstract

We construct a MHAR-DCC model to investigate the high-frequency volatility transmission across international stock markets. We use the overnight volatility estimator to eliminate the effects of non-synchronous trading problem. We analyze the asymmetric volatility transmission effects across the international stock markets. The empirical results suggest that the periods when the total spillover index increases to high levels correspond to the periods when the market volatility is high. The volatility transmission effect in the US and Singapore stock markets exhibit the normal leverage effect, while the volatility transmissions of Japanese and Hong Kong stock markets exhibit the reverse leverage effect.

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  • Luo, Jiawen & Wang, Shengquan, 2019. "The asymmetric high-frequency volatility transmission across international stock markets," Finance Research Letters, Elsevier, vol. 31(C), pages 104-109.
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:p:104-109
    DOI: 10.1016/j.frl.2019.04.025
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