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Structural effects and spillovers in HSIF, HSI and S&P500 volatility

Author

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  • Gannon, Gerard
  • Au-Yeung, Siu Pang

Abstract

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Suggested Citation

  • Gannon, Gerard & Au-Yeung, Siu Pang, 2004. "Structural effects and spillovers in HSIF, HSI and S&P500 volatility," Working Papers aef_2004_08, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:acctwp:aef_2004_08
    DOI: 10.1016/j.ribaf.2004.04.005
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    File URL: http://dx.doi.org/10.1016/j.ribaf.2004.04.005
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    Citations

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    Cited by:

    1. Dimitrios Kartsonakis-Mademlis & Nikolaos Dritsakis, 2022. "Asymmetric volatility transmission in Japanese stock market in the presence of structural breaks," The Japanese Economic Review, Springer, vol. 73(4), pages 647-677, October.
    2. Hsiang-Tai Lee & Jonathan Yoder, 2007. "A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios," Applied Economics, Taylor & Francis Journals, vol. 39(10), pages 1253-1265.
    3. Luo, Changqing & Liu, Lan & Wang, Da, 2021. "Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    4. Cardona, Laura & Gutiérrez, Marcela & Agudelo, Diego A., 2017. "Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 115-127.
    5. Dimitrios Kartsonakis‐Mademlis & Nikolaos Dritsakis, 2021. "Asymmetric volatility spillovers between world oil prices and stock markets of the G7 countries in the presence of structural breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3930-3944, July.
    6. Wagner, Helmut & Matanovic, Eva, 2012. "Volatility Impact of Stock Index Futures Trading - A Revised Analysis," MPRA Paper 51204, University Library of Munich, Germany.
    7. Jovan Njegić & Dejan Živkov & Irena Janković, 2018. "Interrelationship and Spillover Effect between Stock and Exchange Rate Markets in the Major Emerging Economies," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(3), pages 270-292.

    More about this item

    Keywords

    Multivariate Volatility; Regulatory change; Volatility transmissions.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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