Option-implied Volatility Spillovers Across International Stock Markets
CHEN Zhiying, XIAO Zhongyi, LI Yongkui
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
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.
[1]李岸,夏越,乔海曙.国际股票市场联动的影响路径与机制研究[J].南京社会科学,2016,(7):23-29. Li An, Xia Yue, Qiao Haishu. Research on the influence path and mechanism of the international stock market linkage [J]. Nanjing Journal of Social Sciences, 2016,(7):23-29. [2]McQueen G, Roley V V. Stock prices, news, and business conditions[J]. The Review of Financial Studies, 1993, 6(3): 683-707. [3]Forbes K J, Chinn M D. A decomposition of global linkages in financial markets over time [J]. Review of Economics and Statistics, 2004, 86(3): 705-722. [4]Dellas H, Hess M. Financial development and stock returns: A cross-country analysis [J]. Journal of International Money and Finance, 2005, 24(6): 891-912. [5]Wälti S. Stock market synchronization and monetary integration[J]. Journal of International Money and Finance, 2011, 30(1): 96-110. [6]Adler M, Dumas B. International portfolio choice and corporation finance: A synthesis[J]. The Journal of Finance, 1983, 38(3): 925-984. [7]King M A, Wadhwani S. Transmission of volatility between stock markets[J]. The Review of Financial Studies, 1990, 3(1): 5-33. [8]Calvo G A, Mendoza E G. Rational contagion and the globalization of securities markets [J]. Journal of International Economics, 2000, 51(1): 79-113. [9]张兵, 范致镇, 李心丹. 中美股票市场的联动性研究[J]. 经济研究, 2010, 45(11): 141-151. Zhang Bing, Fan Zhizhen, Li Xindan. Comovement between China and US’s stock markets [J]. Economic Research Journal,2010, 45(11): 141-151. [10] Coval J, Stafford E. Asset fire sales (and purchases) in equity markets [J]. Journal of Financial Economics, 2007, 86(2): 479-512. [11] Jotikasthira C, Lundblad C, Ramadorai T. Asset fire sales and purchases and the international transmission of funding shocks[J]. The Journal of Finance, 2012, 67(6): 2015-2050. [12] Raddatz C, Schmukler S L. On the international transmission of shocks: Micro-evidence from mutual fund portfolios[J]. Journal of International Economics, 2012, 88(2): 357-374. [13] Bartram S M, Griffin J M, Lim T H, et al. How important are foreign ownership linkages for international stock returns? [J].The Review of Financial Studies, 2015, 28(11): 3036-3072. [14] Cheung Y W, Ng L K. A causality-in-variance test and its application to financial market prices [J]. Journal of Econometrics, 1996, 72(1-2): 33-48. [15] Hong Y. A test for volatility spillover with application to exchange rates[J]. Journal of Econometrics, 2001, 103(1-2): 183-224. [16] 李红权, 洪永淼, 汪寿阳. 我国 A 股市场与美股, 港股的互动关系研究: 基于信息溢出视角[J]. 经济研究, 2011, 8: 15-25. Li Hongquan, Hong Yongmiao, Wang Shouyang. Information spillover among China's A-shares market, Us stock market and HK stock market [J]. Economic Research Journal,2011, 8: 15-25. [17] 郑挺国, 刘堂勇. 股市波动溢出效应及其影响因素分析[J]. 经济学,2018, 17(2): 669- 692. Zheng Tinghuo, Liu Tangyong. Volatility spillovers across stock markets and its influencing factors [J]. China Economic Quarterly, 2018, 17(2): 669- 692. [18] Diebold F X, Yilmaz K. Better to give than to receive: Predictive directional measurement of volatility spillovers [J]. International Journal of Forecasting, 2012, 28(1): 57-66. [19] Diebold F X, Yilmaz K. On the network topology of variance decompositions: Measuring the connectedness of financial firms[J]. Journal of Econometrics, 2014, 182(1): 119-134. [20] Yang J, Zhou Y. Credit risk spillovers among financial institutions around the global credit crisis: Firm-level evidence[J]. Management Science, 2013, 59(10): 2343-2359. [21] Greenwood-Nimmo M, Huang J, Nguyen V H. Financial sector bailouts, sovereign bailouts, and the transfer of credit risk[J]. Journal of Financial Markets, 2019, 42: 121-142. [22] 梁琪, 李政, 郝项超. 中国股票市场国际化研究: 基于信息溢出的视角[J]. 经济研究, 2015, 50(4): 150-164. Liang Qi, Li Zheng, Hao Xiangchao. The internationallization of Chinese stock market: based on information spillover [J]. Economic Research Journal, 2015, 50(4): 150-164. [23] 周开国, 杨海生, 伍颖华. 中国香港股票市场的溢出效应和收益引导角色——基于亚太地区股票市场的分析[J]. 管理科学学报, 2018, 21(5): 22-43. Zhou Kaiguo, Yang Haisheng, Wu Yinghua. Spillover effects and the leading role of Hong Kong stock market: analysis of Asian-pacific stock markets. Journal of Management Sciences in China, 2018, 21(5): 22-43. [24]刘超, 徐君慧, 周文文. 中国金融市场的风险溢出效应研究——基于溢出指数和复杂网络方法[J]. 系统工程理论与实践, 2017, 37(4): 831-842. Liu Chao, Xu Junhui, Zhou Wenwen. Study on risk spillover effect of financial markets in China based on methods of spillover index and complex network [J]. Systems Engineering Theory &Practice, 2017, 37(4): 831-842. [25] 李政. “811 汇改”提高了人民币汇率中间价的市场基准地位吗?[J]. 金融研究, 2018, 442(4): 1-16. Li Zheng. Does 811 exchange rate reform enhance the market-orientation and benchmark status of the central parity rate [J]. Journal of Financial Research, 2018, 442(4): 1-16. [26] 尹力博, 吴优. 离岸人民币区域影响力研究——基于信息溢出的视角[J]. 金融研究, 2018, 446(8): 1-18. Yin Libo, Wu You. The research of offshore RMB’s regional influence an perspective based on information spillover[J]. Journal of Financial Research, 2018, 446(8): 1-18. [27] Yang Z, Zhou Y. Quantitative easing and volatility spillovers across countries and asset classes [J]. Management Science, 2016, 63(2): 333-354. [28] Blair B J, Poon S H, Taylor S J. Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns[J]. Journal of Econometrics, 2001, 105(1): 5-26. [29] Poon S H, Granger C W J. Forecasting volatility in financial markets: A review [J]. Journal of Economic Literature, 2003, 41(2): 478-539. [30] Âijö J. Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices[J]. Global Finance Journal, 2008, 18(3): 290-302. [31] Jiang G J, Konstantinidi E, Skiadopoulos G. Volatility spillovers and the effect of news announcements[J]. Journal of Banking & Finance, 2012, 36(8): 2260-2273. [32] Peng Y, Ng W L. Analysing financial contagion and asymmetric market dependence with volatility indices via copulas[J]. Annals of Finance, 2012, 8(1): 49-74. [33] Kenourgios D. On financial contagion and implied market volatility [J]. International Review of Financial Analysis, 2014, 34: 21-30. [34] Badshah I U. Volatility spillover from the fear index to developed and emerging markets[J]. Emerging Markets Finance and Trade, 2018, 54(1): 27-40. [35]Ang A, Hodrick R J, Xing Y, et al. The cross-section of volatility and expected returns[J]. The Journal of Finance, 2006, 61(1): 259-299. [36] Forbes K J, Rigobon R. No contagion, only interdependence: measuring stock market comovements [J]. The Journal of Finance, 2002, 57(5): 2223-2261. [37] 李广众,杨子晖,杨铠维.汇率波动性与股市收益率联动性——来自国际样本的经验证据[J].金融研究,2014,(07):16-31. Li Guangzhong, Yang Zihui, Yang Kaiwei. Exchange rate volatility and stock market synchronization: the international market [J]. Journal of Financial Research, 2014,(07):16-31.
