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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.

Suggested Citation

  • Hossein Asgharian & Christoffer Bengtsson, 2006. "Jump Spillover in International Equity Markets," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 167-203.
  • Handle: RePEc:oup:jfinec:v:4:y:2006:i:2:p:167-203
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbj005
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    Citations

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    Cited by:

    1. Asgharian, Hossein & Nossman, Marcus, 2011. "Risk contagion among international stock markets," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 22-38, February.
    2. Jian Zhou, 2013. "Extreme risk spillover among international REIT markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(2), pages 91-103, January.
    3. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4738-4754.
    4. Hellström, Jörgen & Lundgren, Jens & Yu, Haishan, 2012. "Why do electricity prices jump? Empirical evidence from the Nordic electricity market," Energy Economics, Elsevier, vol. 34(6), pages 1774-1781.
    5. Chris Brooks & Marcel Prokopczuk, 2013. "The dynamics of commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 527-542, March.
    6. Milcheva, Stanimira & Zhu, Bing, 2016. "Bank integration and co-movements across housing markets," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 148-171.
    7. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
    8. Larsson, Karl & Nossman, Marcus, 2011. "Jumps and stochastic volatility in oil prices: Time series evidence," Energy Economics, Elsevier, vol. 33(3), pages 504-514, May.
    9. Jawadi, Fredj & Louhichi, Waël & Idi Cheffou, Abdoulkarim, 2015. "Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach," Journal of Financial Markets, Elsevier, vol. 26(C), pages 64-84.
    10. Liu, Lu, 2014. "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 39-48.
    11. Pukthuanthong, Kuntara & Roll, Richard, 2012. "Internationally correlated jumps," Working Paper Series 1436, European Central Bank.
    12. Liu, Qingfu & Tu, Anthony H., 2012. "Jump spillovers in energy futures markets: Implications for diversification benefits," Energy Economics, Elsevier, vol. 34(5), pages 1447-1464.
    13. repec:eee:phsmap:v:486:y:2017:i:c:p:656-667 is not listed on IDEAS
    14. Vindel, Jose M. & Trincado, Estrella, 2010. "The timing of information transmission in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5749-5758.
    15. Liu, Lu, 2013. "International stock market interdependence: Are developing markets the same as developed markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 226-238.

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