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首页> 外文期刊>The North American journal of economics and finance >Interrelations in market fears of U.S. and European equity markets
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Interrelations in market fears of U.S. and European equity markets

机译：美国和欧洲股市市场恐惧的相互关系

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摘要

We examine interdependence between the implied volatilities of U.S. and five European markets in an integrated multivariate system that allows interactions in the first and second moments of volatility processes. Our results find significant interactions in the variance-covariance matrix of VIX and European volatilities which persist and facilitate risk transmission. Changes in U.S. and Eurozone volatilities are important drivers of risk shocks in European markets. VIX and European volatilities have predictive ability for each other. Further, VIX shocks contribute significantly to the prediction error of European risk shocks, but not vice versa. Risk transmission from U.K. markets to U.S. and European markets intensified around the Brexit vote. Also, VIX shocks added significantly more to European risks during the global financial crisis. Our results highlight the potential weakness of risk transmission models that ignore the second-moment risk transmission channel and have implications for volatility trades, portfolio diversification strategies, and hedging the cross-market risks.
机译：我们在综合多元系统中检查美国和五个欧洲市场之间的相互依存性，允许在第一个和第二次挥发性过程中的相互作用。我们的结果在vix和欧洲波动率的差异 - 协方差矩阵中发现了持续和促进风险传播的重要互动。美国和欧元区挥发性的变化是欧洲市场风险冲击的重要驱动因素。 vix和欧洲的挥发性对彼此具有预测能力。此外，vix冲击对欧洲风险冲击的预测误差有显着贡献，但反之亦然。来自U.K.市场的风险传播到美国和欧洲市场围绕Brexit投票加剧。此外，vix震惊在全球金融危机期间欧洲风险较大增加。我们的结果突出了忽视第二次风险传输信道的风险传输模型的潜在弱点，对波动性交易，投资组合多样化策略以及对跨市场风险的影响。

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