Global and regional range-based volatility spillover effects

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• 作者：Yen-Hsien Lee ; ^{yh@cycu.edu.tw}
• 关键词：C5 ; G1
• 刊名：Emerging Markets Review
• 出版年：2013
• 出版时间：March, 2013
• 年：2013
• 卷：14
• 期：Complete
• 页码：1-10
• 全文大小：490 K

文摘

This study extends the univariate Weibull conditional autoregressive range (CARR) model to establish a bivariate Weibull CARR (BWCARR) model to investigate the range-based volatility spillover effect. The empirical results indicate that a conditional autoregressive range relationship exists on the US, Japan, mainland China, Hong Kong and Taiwan stock markets. The new BWCARR model is more credible and efficient than the CARR model. Moreover, the range-based volatility for the US and Japan has an impact on Taiwan, indicating that there exists a range-based global and regional stock market spillover effect that has an impact on the Taiwanese stock market.