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Global equity market leadership positions through implied volatility measures

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  • Parhizgari, A.M.
  • Padungsaksawasdi, Chaiyuth

Abstract

Using unique minute-by-minute data on six major country implied volatility series, we examine the spillovers and the leadership positions of the global stock exchanges through measuring and assigning the contributions of innovations among their implied volatilities. The entire analyses are performed on synchronized transactions. A hybrid leadership methodology that is computationally efficient is employed. In nearly all cases, the findings indicate a clear relative leadership position for one or more exchanges. These, in turn, provide important insights into the operations of the markets and convey the dynamic process among them. We also address the transmission mechanism and volatility efficiency.

Suggested Citation

  • Parhizgari, A.M. & Padungsaksawasdi, Chaiyuth, 2021. "Global equity market leadership positions through implied volatility measures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 180-205.
    • Handle: RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205
    DOI: 10.1016/j.jempfin.2021.01.001
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    More about this item

    Keywords

    Global implied volatility; Global market leadership; Global spillover; Global market securities information; Channels of volatility transmission;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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