Open AccessStudy on stock market volatility spillover effect based on TVP-VAR model
Author(s) -
Xiaowan Zhang,
Ronghua Yi,
Wang Ying
Publication year - 2020
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1592/1/012044
Subject(s) - volatility (finance) , spillover effect , business , volatility swap , monetary economics , stock market , stock (firearms) , volatility risk premium , volatility smile , economics , financial economics , implied volatility , macroeconomics , mechanical engineering , paleontology , horse , biology , engineering
Utilizing time-varying VAR model and impulse response analysis, we examine the dynamic impact of volatility from foreign companies listed and their contribution to the main stock market in Japanese, Korean, Hong Kong and Singapore markets during the period of 20002018. We find that the host markets have a positive response to volatility effects of foreign companies, more specifically, the increase of the foreign company volatility will cause the increase of the host market volatility. Results show that volatility of foreign companies from mature markets did not cause more volatility in host markets. Interestingly, foreign companies from emerging markets will bring stronger volatility spillover to host markets.