Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction

Konferenzbeitrag

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where structural ARCH-type variances serve two purposes: governing the time variation of spillovers and ensuring statistical identification. The model is applied to data of US and further stock markets. Indeed, we find strong nonlinear, volatility-dependent effects.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2013: Wettbewerbspolitik und Regulierung in einer globalen Wirtschaftsordnung - Session: International Financial Markets ; No. G21-V3

Classification and Topics

• Classification: Wirtschaft ; International Financial Markets ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Econometrics

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Strohsal, Till ; Weber, Enzo
• Event: Veröffentlichung
• (who): ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
• (where): Kiel und Hamburg
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/79903
• Last update: 10.03.2025, 11:44 AM CET