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The Impact of Major Event on Regime Switching of Financial Market Volatility Spillover: The Case of the 2011 Japanese Earthquake

In: The 19th International Conference on Industrial Engineering and Engineering Management

Author

Listed:
  • Lu Wang

    (Southwest Jiaotong University)

  • Jiong-lou Xu

    (Southwest Jiaotong University)

  • Mao Li

    (Southwest Jiaotong University)

Abstract

Natural disasters may inflict significant regime switching of financial market volatility spillover. Using Japan and other four world’s major stock market indexes, this chapter examines if any regime switching occurred across financial markets after the 2011 Japanese earthquake based on copula model. The results indicate that strengthened cross-markets regime switching with significant evidence of volatility spillover are noticeable for Japan-Hong Kong, Japan-US and Japan-China pairs. Every national/regional stock market is found to suffer on the effect by the 2011 Japanese earthquake.

Suggested Citation

  • Lu Wang & Jiong-lou Xu & Mao Li, 2013. "The Impact of Major Event on Regime Switching of Financial Market Volatility Spillover: The Case of the 2011 Japanese Earthquake," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), The 19th International Conference on Industrial Engineering and Engineering Management, edition 127, chapter 0, pages 663-672, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-37270-4_62
    DOI: 10.1007/978-3-642-37270-4_62
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