文章基本信息

标题：Asymmetric volatility connectedness among main international stock markets: A high frequency analysis
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作者：Walid Mensi ; Debasish Maitra ; Xuan Vinh Vo 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2021
卷号：21
期号：3
页码：291-306
语种：English
出版社：Elsevier B.V.
摘要：This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized volatility and identify the magnitude of the volatility spillover and of the connectedness through networks. We decompose realized volatility into good and bad, and volatility spillover is time-varying and asymmetric. Bad volatility dominates good volatility in international stock markets. Macroeconomic shocks (negative interest rates in Japan, economic stress in China, a recession in Russia, and double-digit inflation in Brazil) increased volatility asymmetry. Asian markets are responsible for stronger negative spillover, thereby necessitating regulations to reduce the strong negative volatility connectedness with Asian markets.