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Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities

Author

Listed:
  • David Roubaud

    (MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier)

  • Bouri Elie
  • Qiang Ji

Abstract

We contribute to the growing literature on information flow among US equities, strategic commodities (oil and gold) and Brazil, Russia, India, China and South Africa equities. Unlike prior literature, however, we apply a graph theory approach that incorporates a dynamic conditional correlation model to disclose the dynamics of information integration and investigate the impact of political, war, macroeconomic and financial events on the changes in information flow among implied volatility indices. Our findings indicate that the integration structure of an information transmission network is unstable and changes over time. The impact patterns of events are dissimilar—some events have an impact on the local market only, whereas others have a global impact. The key point is that the impact of events on the integration structure among market volatilities is limited, although events can affect the degree of co-movement among markets. Our findings can provide important implications for dynamic global portfolios.

Suggested Citation

  • David Roubaud & Bouri Elie & Qiang Ji, 2018. "Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities," Post-Print hal-02081506, HAL.
    • Handle: RePEc:hal:journl:hal-02081506
    DOI: 10.1016/j.irfa.2018.02.001
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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