Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures

Yarovaya, Larisa and Brzeszczyński, Janusz and Lau, Marco C. K. (2016) Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. International Review of Financial Analysis, 43. pp. 96-114. ISSN 1057-5219

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Official URL: https://doi.org/10.1016/j.irfa.2015.09.004

Abstract

We provide empirical evidence on the patterns of intra- and inter-regional transmission of information across 10 developed and 11 emerging markets in Asia, the Americas, Europe and Africa using both stock indices and stock index futures. The main transmission channels are examined in the period from 2005 to 2014 through the analysis of return and volatility spillovers around the most recent crises based on the generalized vector autoregressive framework. Our findings demonstrate that markets are more susceptible to domestic and region-specific volatility shocks than to inter-regional contagion. A novel result reported in our study is a difference in patterns of international signals transmission between models employing indices and futures data. We conclude that futures data provide more efficient channels of information transmission because the magnitude of return and volatility spillovers across futures is larger than across indices. Our findings are relevant to practitioners, such as stock market investors, as well as policy makers and can help enhance their understanding of financial markets interconnectedness.

Item Type: Journal Article
Keywords: Generalized VAR, Stock index futures, Information transmission
Faculty: ARCHIVED Lord Ashcroft International Business School (until September 2018)
Depositing User: Lisa Blanshard
Date Deposited: 21 Apr 2020 10:01
Last Modified: 21 Apr 2020 10:01
URI: http://arro.anglia.ac.uk/id/eprint/705427

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