King, M. A. and S. W . Wadhwani, 1990, Transmission of volatility between stock markets, Review of Financial Studies 3, 5-33.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....pattern is very diverse. Studies of the transmission of volati lity among international stock markets examine vola tility spillovers from one marke t to another. Eun andShim (1989) use daily prices, Hamao, Masulis, and Ng (1990) and Lin, Engle and Ito (1994) use daily open and closing prices, and King and Wadhwani (1990) use hourly prices around the 1987 crash to validate volatility spillovers among these markets. 2 Stock index futures versus cash index volatility provide higher frequency data to examine volatility transmission. Cheung and Ng (1990) use 15 minute quotes for the S P 500 contrac t to find that ....

King, M.A., and Wadhwan i, S., "Transmission of Volatility between Stock M arkets." Review of Financial Studies, Vol. 3 No.1 (1990), pp. 5-33.

....from the US to the rest of the world are reported in Eun and Shim (1989) Becker, Finnerty and Gupta (1990) Fischer and Palasvirta (1990) and Hamao, Masulis and Ng (1990) Other studies such as Koch and Koch (1991) and Von Furstenberg and Jeon (1989) find correlations have increased over time. King and Wadhwani (1990) and Bertero and Mayer (1990) find a substantial increase in correlation during stock market crises. More recent papers such as Theodossiou and Lee (1993) Longin and Solnik (1995) and Theodossiou, Kahya, Koutmos and Christofi (1997) exploit a multivariate GARCH technology where all the ....

King M. and S. Wadhwani (1990) "Transmission of volatility between stock markets", Review of Financial Studies, Vol.3, No.1, pp.5-33.

.... by, for example, Jorion (1988) Akgiray and Booth (1988) Bates (1996) and Bekaert, Erb, Harvey and Viskanta (1998) Two, these jumps in returns tend to occur at the same time across equities in di#erent countries, for which a variety of explanations have been o#ered by Engle, Ito and Lin (1990) King and Wadhwani (1990), and Harvey and Huang (1991) 1 One contribution of our work is methodological. We provide a mathematical model of security returns that captures the stylized facts about international equity returns described above. We do this by modeling security returns as a jump di#usion process where the ....

....markets, too. They liken this to a meteor shower as opposed to localized volatility persistence within a market, which they call a heat wave. They find strong evidence in favor of the meteor shower hypothesis, and the model for asset returns that we specify is consistent with their findings. King and Wadhwani (1990) investigate the October 1987 crash to determine why all the markets moved together despite dissimilar economic circumstances. They argue that a mistake in one market can be transmitted to other markets by means of contagion. Harvey and Huang (1991) find that large shocks in the foreign exchange ....

King, M.A. and S. Wadhwani. "Transmission of Volatility between Stock Markets," Review of Financial Studies, 1990, v3(1), 5-33.

....1987; they found strong interactions among markets on the same day and they also documented changes over time in the correlation structure. Among developed countries between 1960 and 1990, Longin and Solnik (1995) concluded that both covariances and correlations were unstable. Hamao et al. (1990) King and Wadhwani (1990) and others have investigated spillovers in volatility and expected returns from one country to another. The former used a GARCH model to measure spillover while the latter used contemporaneous correlations. Volatility spillover is an important concept because it attempts to identify directional ....

....throughout a region. First, we look at volatility spillover from one market to another and seek to determine whether spillover intensity changed during the 1997 crisis. An increase in spillover intensity would be evidence of greater contagion around the crisis. This issue was investigated by King and Wadhwani (1990), among others, during the pandemic October 1987 crash. We change their now standard approach slightly so as to measure the overall susceptibility of countries within a region to volatility shocks imported from neighbors. To measure volatility spillover, we regress weekly first differences of ....

King, Mervyn A. and Sushil Wadhwani, 1990, Transmission of Volatility between Stock Markets, The Review of Financial Studies 3, 1, 5-33.

....the correlation structure over time. Longin and Solnik (1995) studied the stability of the correlation in international equity returns among developed countries between 1960 and 1990 and inferred that the covariance and correlation structures were unstable over time. Finally Hamao et al. (1990) King and Wadhwani (1990) and others have studied the phenomenon of spillovers in volatility and mean across countries. The former uses a GARCH model to measure the spillover while the latter uses contemporaneous correlations. The issue of volatility spillover is an important one as it comes closest to establishing ....

....this proportion changed over time How has an international investor s ability to diversify his portfolio within the region evolved over time We begin our study with a look at the spillover angle of inter market relationship. Volatility spillover between countries has been studied before by King and Wadhwani (1990) among others. The main question that is usually asked in this branch is how an increase in volatility in one market can cause a rise in volatility in another. In this paper, we switch the perspective to that of the recipient country and try to measure the susceptibility meaning lack of ....

King, Mervyn A. and Sushil Wadhwani, 1990. `Transmission of Volatility between Stock Markets', The Review of Financial Studies, 3(1), pp. 5-33.

....the correlation structure over time. Longin and Solnik (1995) studied the stability of the correlation in international equity returns among developed countries between 1960 and 1990 and inferred that the covariance and correlation structures were unstable over time. Finally Hamao et al. (1990) King and Wadhwani (1990) and others have studied the phenomenon of spillovers in volatility and mean across countries. The former uses a GARCH model to measure the spillover while the latter uses contemporaneous correlations. Some studies have looked at East Asian countries in particular. Chung and Liu (1994) finds ....

King, Mervyn A. and Sushil Wadhwani, 1990. `Transmission of Volatility between Stock Markets', The Review of Financial Studies, 3(1), pp. 5-33.

....data or even intraday data support ARCH and GARCH effects in stock market returns. For a survey see Bollerslev, Chou, and Kroner (1992) Recently, multivariate GARCH models are used to estimate conditional covariances between different stock markets. Among others, Hamao, Masulis, and Ng (1990) King and Wadhwani (1990), Lin, Engle, and Ito (1994) and Longin and Solnik (1995) investigate volatility spillovers and linkages between markets. For example, Longin and Solnik (1995) provide some evidence that the unconditional correlation between markets increases during highly volatile periods. On the other hand, ....

King, M. A., and S. Wadhwani (1990): "Transmission of Volatility between Stock Markets," The Review of Financial Studies, 3, 5--33.

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King, M. A. and S. W . Wadhwani, 1990, Transmission of volatility between stock markets, Review of Financial Studies 3, 5-33.

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