Structural effects and spillovers in HSIF, HSI and S&P500 volatility |
| |
Authors: | Gerard Gannon Siu Pang Au-Yeung |
| |
Institution: | Department of Finance, Faculty of Economics and Commerce, The University of Melbourne, Grattan Street, Parkville, Vic. 3010, Australia |
| |
Abstract: | We adopt a BEKK-GARCH framework and employ a systematic approach to jointly examine structural breaks in the Hong Kong cash index and index futures volatility and volatility spillovers from the S&P 500 cash and futures. Multiple switching dummy variables are included in the variance equations to test for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market. Abolishment of the up-tick rule, increase of initial margins and electronic trading of the Hang Seng Index Futures (HSIF) are found to have significant impact when US market spillovers are excluded from a restricted model. Volatility spillovers from the US market are found to have a significant impact and account for some mis-specification in the restricted model. |
| |
Keywords: | Multivariate volatility Regulatory change Volatility transmissions |
本文献已被 ScienceDirect 等数据库收录! |