Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

Arbeitspapier

The paper considers the problem of volatility co-movement, namely as to whether two nancial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using the framework of the ARCH model. In empirical analysis we found that volatility co-movement exists among closelylinked stock markets and that volatility co-movement of the exchange rate markets tends to be found when the overall volatility level is low, which is contrasting to the often-cited nding in the nancial contagion literature that nancial returns have co-movement in the level during the nancial crisis.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Tinbergen Institute Discussion Paper ; No. 17-022/III

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Hypothesis Testing: General ; Financial Econometrics ; Financial Crises ; Portfolio Choice; Investment Decisions
• Thema: Lagrange multiplier test ; Volatility co-movement ; Stock markets ; Exchange rate Markets ; Financial crisis

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Chen, Jinghui ; Kobayashi, Masahito ; McAleer, Michael
• Ereignis: Veröffentlichung
• (wer): Tinbergen Institute
• (wo): Amsterdam and Rotterdam
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/162288
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ