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| Option-implied Volatility Spillovers Across International Stock Markets |
| CHEN Zhiying, XIAO Zhongyi, LI Yongkui
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a.School of Economics, Southwest University of Political Science & Law, Chongqing 401120, China;
b.Private Economy Research Center, Southwest University of Political Science & Law, Chongqing 401120, China |
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Abstract Using spillovers index approach and spillover network, this paper explores the characteristics and sources of volatility spillovers effect across 11 major stock markets. The results show that the US stock market is the center of the international volatility spillover network. The three markets of UK, France and Germany have obvious mutual spillovers, but the spillovers to other markets are weak. The total volatility spillovers index is volatile, rising significantly during the period of financial turmoil. The economic fundamentals and market contagious are both important factors.
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Received: 18 July 2019
Published: 21 January 2020
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