Global and regional range-based volatility spillover effects |
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Institution: | 1. Cheung Kong Graduate School of Business, 3/F, Tower 3E, Oriental Plaza, 1 East Chang An Avenue, Beijing, 100738, PR China;2. Dalhousie University, Rowe School of Business, Room 4090, 6100 University Avenue, Halifax, Nova Scotia, B3H 4R2, Canada;3. Shanghai, PR China |
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Abstract: | This study extends the univariate Weibull conditional autoregressive range (CARR) model to establish a bivariate Weibull CARR (BWCARR) model to investigate the range-based volatility spillover effect. The empirical results indicate that a conditional autoregressive range relationship exists on the US, Japan, mainland China, Hong Kong and Taiwan stock markets. The new BWCARR model is more credible and efficient than the CARR model. Moreover, the range-based volatility for the US and Japan has an impact on Taiwan, indicating that there exists a range-based global and regional stock market spillover effect that has an impact on the Taiwanese stock market. |
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