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Título:
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Fear connectedness among asset classes
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Autores:
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Andrada-Félix, Julián ;
Fernandez-Perez, Adrian ;
Sosvilla-Rivero, Simón
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Tipo de documento:
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texto impreso
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Editorial:
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Taylor & Francis, 2018
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Materia = Ciencias Sociales: Economía: Economía internacional
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Materia = Ciencias Sociales: Economía: Macroeconomía
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Materia = Ciencias Sociales: Economía: Mercados bursátiles y financieros
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Tipo = Artículo
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Resumen:
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This study investigates the interconnection between five implied volatility indices representative of different financial markets during the period 1 August 2008–29 December 2017. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yilmaz. Second, we make use of a dynamic analysis to evaluate both the net directional connectedness for each market and all net pairwise directional connectedness. Our results suggest that a 38.99%, of the total variance of the forecast errors is explained by shocks across markets, indicating that the remainder 61.01% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability. Finally, we also document frequently switch between a net volatility transmitter and a net volatility receiver role in the five markets under study.
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En línea:
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https://eprints.ucm.es/60072/1/Fear%20connectedness-Andrada-F%C3%A9lix%20%28Postprint%29.pdf
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