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Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators

Author

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  • Yarovaya, Larisa
  • Brzeszczyński, Janusz
  • Lau, Chi Keung Marco
Abstract
This paper investigates the channels of volatility transmission across stock index futures in 6 major developed and emerging markets in Asia. We analyse whether the popular volatility spillovers tests are susceptible to the choice of range volatility estimators. Our results demonstrate strong linkages between markets within the Asian region, indicating that the signal receiving markets are sensitive to both negative and positive volatility shocks, which reveals the asymmetric nature of volatility transmission channels. We find that some markets play a destabilizing role while other countries - contrary to popular belief - have a stabilizing effect on other markets in Asia.

Suggested Citation

  • Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2016. "Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators," Finance Research Letters, Elsevier, vol. 17(C), pages 158-166.
    • Handle: RePEc:eee:finlet:v:17:y:2016:i:c:p:158-166
    DOI: 10.1016/j.frl.2016.03.005
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    References listed on IDEAS

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    More about this item

    Keywords

    Stock markets; Volatility spillovers; Range volatility estimators; Asian markets;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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