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Time-frequency information transmission among financial markets: evidence from implied volatility

Author

Listed:
  • Muhammad Abubakr Naeem

    (University College Dublin)

  • Fiza Qureshi

    (University of Sindh)

  • Saqib Farid

    (University of Management & Technology)

  • Aviral Kumar Tiwari

    (Rajagiri Valley Campus
    South Ural State University)

  • Mohamed Elheddad

    (University of Huddersfield)

Abstract

In this paper, we utilize the Chicago Board Option Exchange (CBOE) implied volatility indices to estimate the time-frequency information transmission among financial markets from 01.08.2008 to 31.10.2019. In doing so, we utilize the rolling window wavelet correlation (RWWC), Diebold & Yilmaz (The Economic Journal 119: 158–171, 2012), and Barunik & Krehlik (Journal of Financial Econometrics 16: 271–296, 2018). Our empirical findings suggest short-term and long-term dynamic connectedness between implied volatility indices of alternative assets. The long-term analysis findings suggest potential hedging and diversification opportunities that can be exploited by taking offsetting positions across volatility indices. The findings confirm heterogeneity between short-term and long-term connectedness results. Our findings also show superior out of sample hedging effectiveness of GVZ. The implications of the findings are further discussed in the paper.

Suggested Citation

  • Muhammad Abubakr Naeem & Fiza Qureshi & Saqib Farid & Aviral Kumar Tiwari & Mohamed Elheddad, 2024. "Time-frequency information transmission among financial markets: evidence from implied volatility," Annals of Operations Research, Springer, vol. 334(1), pages 701-729, March.
    • Handle: RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04266-y
    DOI: 10.1007/s10479-021-04266-y
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