Co-movement measure of information transmission on international equity markets

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• 作者：Naseem Al Rahahleh^a ; ^{nalrahahleh@kau.edu.sa} ; M. Ishaq Bhatti^b ; ^c ; ^{i.bhatti@latrobe.edu.au}
• 关键词：Copula ; EVT ; Dynamic conditional correlation ; Co-movement ; Financial markets
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：15 March 2017
• 年：2017
• 卷：470
• 期：Complete
• 页码：119-131
• 全文大小：567 K
• 卷排序：470

文摘

The paper captures volatility linkages among various developed and emerging markets. Return co-movement effects between AUS and Asian countries are bi-directional. The US market has a higher volatility spillover on the UK than that of AUS market. The UK has a higher volatility spillover on the AUS market than that of US market. The HKG market has the largest volatility spillover on the TWN, AUS, and JPN markets.