The determination and international transmission of stock market volatility

This paper extends the literature on low-frequency analysis of the causes and transmission of stock market volatility. It uses end-monthly data on stock market returns, interest rates, exchange rates, inflation, and industrial production for five countries (Britain, France, Germany, Japan, and the US) from July 1973 to December 1994. Efficient portfolios of world, European, and Japanese/US equity are first constructed, the existence of multivariate cointegrating relationships between them is demonstrated, and the transmission of conditional volatility between them is described. The transmission of conditional volatility from world equity markets and national business cycle variables to national stock markets is then modeled. Among the main findings are: first, world equity market volatility is caused mostly by volatility in Japanese/US markets and transmitted to European markets, and second, changes in the volatility of inflation are associated with changes of the opposite sign in stock market volatility in all markets where a significant effect is found to exist. To the extent that the volatility of inflation is positively related to its level, this implies that low inflation tends to be associated with high stock market volatility.     

Stock volatility predictability in bull and bear markets

The recent literature on stock return predictability suggests that it varies substantially across economic states, being strongest during bad economic times. In line with this evidence, we document that stock volatility predictability is also state dependent. In particular, in this paper, we use a large data set of high-frequency data on individual stocks and a few popular time-series volatility models to comprehensively examine how volatility forecastability varies across bull and bear states of the stock market. We find that the volatility forecast horizon is substantially longer when the market is in a bear state than when it is in a bull state. In addition, over all but the shortest horizons, the volatility forecast accuracy is higher when the market is in a bear state. This difference increases as the forecast horizon lengthens. Our study concludes that stock volatility predictability is strongest during bad economic times, proxied by bear market states.     

Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange

This paper analyzes stock returns and volatility relations between the Istanbul Stock Exchange (ISE) and the global market as represented by stock markets in the US, the UK, Japan and Germany. Results from monthly data and multivariate cointegration tests suggest that the ISE became significantly integrated in the global market only in the period following market liberalization in late 1989. We also find evidence based on GARCH estimations that capital liberalization actually mitigated, rather than intensified, volatility in the ISE. Our results further suggest that the Asian crisis in mid‐1997 and the consequent Russian economic meltdown in mid‐1998 are partly responsible for the recent excessive volatility in the Turkish market. The results also identify the US and the UK markets as dominate sources of volatility spillovers for the ISE, even in the period following the Asian‐Russian crises. Consequently, it appears that the two matured markets of the US and the UK shoulder significant responsibility for the stability and financial health of smaller emerging markets like the ISE.     

基于Copula的股票市场波动溢出分析

对于动态投资组合与风险管理来说,测定波动溢出效应是非常重要的。已有的研究是建立在不同金融市场之间的波动是线性相关的,而线性相关并不能描述金融市场之间的非线性关系。借用Copula技术来描述股票市场之间的非线性关系、SV模型来刻画股票市场数据的边缘分布,并引入波动变结构论分析判断波动溢出,实证分析验证了方法是可行的。     

Correlation and Volatility Dynamics in International Real Estate Securities Markets

We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations between all real estate securities market returns than those between the stock market returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive connection between real estate securities market correlations and their conditional volatilities. We also find the international correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic motivations regarding the potential integration of international real estate securities markets and the possibility of including information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.

Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013

We determine the events that cause large shocks in volatility of the DJIA index over the period 1928–2013, using a new semi-parametric test based on conditional heteroscedasticity models. We find that these large shocks can be associated with particular events (financial crashes, elections, wars, monetary policies, etc.). We show that some shocks are not identified as extraordinary movements by the investors due to their occurring during high volatility episodes, especially the 1929–1934, 1937–1938 and 2007–2011 periods.     

论衍生产品使香港地区股市走上健康发展之路——兼论对冲基金对股市的作用

本文研究对冲基金在衍生产品(主要是认股权证)提供的高效率低成本套利工具的条件下,如何使香港地区股市以往长时间累积的系统风险分散到各个时段,使股市的长期(年度)波幅变小,短期(月份)波幅变得均匀。犹如在股市这个大系统下加入一个负反馈回路,使原来只有正反馈回路、很容易进入震荡状态、失去控制的股市,变成稳定运行的系统,避免泡沫的产生,达到提高市场效率的目的。此外,我们以香港地区股市(恒生指数为主)波动为实证数据进行分析,其结果证实了上面的结论。     

Impact of futures on comovements for UK cross-listed equities

This paper uses La Porta et al.'s [La Porta, R., De Silanes, F.L., Shleifer, A., Vishny, R.W., 1998. Law and finance. Journal of Political Economy 106 (6), 1113–1155] capital markets regulatory classification to analyse the impact of information contained in various futures contracts on the magnitude and persistence of volatility spillovers between markets. The focus here is to examine the impact of futures contracts on comovement between markets. We examine the behavior of foreign cross-listed shares that have listed in different regulatory environments. In particular, the paper analyses spillover effects between foreign cross-listings in tougher, similar and more lax regulatory environments with respect to the relevant domestic indices (FTSE100) and also with the home portfolios of cross-listed equities in the UK. We find that futures variables have a significant impact on the magnitude and persistence of volatility spillovers between markets.     

Information linkages between emission allowance and energy markets

We employ a rational expectations framework similar to that proposed by Fleming et al. (1998) to examine the source, and nature of, information linkages between the emission allowance and energy markets as gauged by the correlation of return volatilities. Estimating the model for bivariate pairings of securities suggests that market linkages arise from sensitivities to common information rather than from indirect spillovers, with emission allowances most strongly linked to the crude oil market.     

股指期货推出前后股市反应的国际比较研究

本文运用香港、日本和韩国三个国际金融市场上股指期货推出前后现货市场的有关数据,从现货市场指数走势、现货市场波动性和成交量等方面对股指期货推出前后股市反应的变化进行比较研究。实证结果表明:股指期货推出前后每个国际金融市场股市受到的影响各有不同,很大程度上取决于股指期货推出前现货市场的态势。     

我国投资者情绪与股票收益实证研究

根据投资者情绪是股票价格形成重要影响因素这一研究观点,围绕投资者情绪是否构成系统性风险及其对不同类型股票的差异化影响,运用我国股市交易数据进行的实证研究结果表明,投资者情绪不构成股市的系统性风险,但对不同市值的股票有着差异化的影响,随着股票的\"投机性\"增加,投资者情绪对其影响也增大.此外,投资者情绪会削弱股票收益与其波动的正相关性,且对于\"投机性\"越高的股票,这一影响也越大.     

股指期货推出对中国股票市场波动性的影响研究——基于沪深300股指期货高频数据的实证分析

本文利用沪深300股指期货的高频数据,研究了股指期货推出对中国股票市场波动性的影响。结果表明:在股指期货合约交割日,总体上不存在到期日效应;在中长期,股指期货推出则确实增加了现货市场的波动,但随着时间的推移,这种影响在减小。另外,股指期货对现货市场波动起到引导作用,其冲击持续的时间更长、强度更大。本文政策含义在于,随着时间的推移,股指期货开始平稳有效运行,对现货市场起到重要引导和价格发现的作用,但由于股指期货的高投机性,加强对其监管仍然十分必要。     

Regime-switching volatility of six East Asian emerging markets

This paper investigates regime-switching behaviour in the return-generating processes of six East Asian emerging stock markets over the period from 1970 to 2004 and examines the specific characteristics of each regime by utilizing Markov-switching variance models. The results show very strong evidence of more than one regime in each of these stock markets. In addition, the conditional probabilities of each regime derived from the model provide mixed evidence regarding the impact of financial liberalization on return volatility.     

机构持股对股价宏观波动影响的非对称性

本文利用Topview机构投资者日持股数据,构建机构投资者日净买率等指标,使用GMM回归、递归回归,从波动、收益两个角度动态分析机构投资者对股价宏观波动的影响。实证结果表明,机构投资者对股价宏观波动的影响因不同的市场状态而具有非对称性,并可以用信息假说进行解释。管理层应依据不同的市场状态而采取合适的措施以实现机构投资者的稳定作用。