...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Journal of International Money and Finance >Is volatility spillover enough for investor decisions? A new viewpoint from higher moments
【24h】

Is volatility spillover enough for investor decisions? A new viewpoint from higher moments

机译：是否足以满足投资者的决定？ 来自更高时刻的新观点

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Due to the remarkable development of technology and the increased financial flows across countries, the economic integration of global equity markets has increased continuously since entering the new century. For this reason, the dynamic relationships among global stock markets have become a popular topic for investors, policymakers, and academics. Notably, the spectacular crash of the U.S. housing market and the bursting of the U.S. mortgage bubble in the summer of 2007 directly caused a severe financial crisis in 2008, which started in the U.S. stock markets and other financial sectors and rapidly spread. This crisis spilled over into other countries, thereby turning local crises into global crises. This event reminded investors of the importance of investigating the spillover effects between different financial markets to reduce that linkage risk. Spillover effects are usually observed in returns and volatility (i.e., He et al., 2020; Huo & Ahmed, 2017). UnderstandingThis paper provides a new viewpoint on the time and frequency dynamics of the spillover effects among eight major world equity market indexes. We extend the Diebold & ndash;Yilmaz approach and the Barunilk and Krehik methodology to estimate and measure the skewness spillover. Our empirical results indicate that the total skewness spillover is far smaller than the total volatility spillover among all markets. Although both volatility spillover and skewness spillover vary with time, the skewness remains relatively smooth and varies gradually when extreme events occur, while the total volatility spillover changes more rapidly and dramatically. Moreover, we observed that most skewness spillover is generated in the short term (1 & ndash;5 days), while most volatility spillover is produced over the long term (over 21 days). '(c) 2021 Elsevier Ltd. All rights reserved.
机译：由于技术的显着发展和各国的金融流量增加，自进入新世纪以来，全球股市的经济融合持续不断增加。出于这个原因，全球股市之间的动态关系已成为投资者，政策制定者和学者的流行议题。值得注意的是，美国住房市场的壮观崩溃和2007年夏天在2007年夏天的美国抵押泡沫的爆破直接造成了2008年严重的金融危机，该危机在美国股市和其他金融部门迅速传播。这场危机溢出到其他国家，从而将当地危机转化为全球危机。本次事件提醒投资者对不同金融市场之间溢出影响的重要性，以减少联系风险。通常观察到溢出效应以返回和挥发性（即，He等，2020; Huo＆Ahmed，2017）。了解本文在八大世界股票市场指标中溢出效应的时间和频率动态提供了新的观点。我们扩展了DieBold＆Ndash; yilmaz方法和Barunilk和Krehik方法，以估算和测量偏斜溢出。我们的经验结果表明，总偏向溢出量远远小于所有市场之间的总波动溢出。虽然波动性溢出和偏斜溢出量随时间而变化，但是当极端事件发生时，偏斜仍然相对光滑，逐渐变化，而总波动溢出溢出速度迅速且显着变化。此外，我们观察到大多数挠度溢出在短期内产生（1＆ndash; 5天），而大多数波动溢出量在长期内产生（超过21天）。 '（c）2021 elestvier有限公司保留所有权利。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号