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Shift-volatility transmission in East Asian equity markets: new indicators

Abstract : This paper attempts to provide evidence of “shift-volatility” transmission in the East Asian equity markets. By “shift-volatility”, we mean the volatility shifts from a low level to a high level corresponding respectively to tranquil and crisis periods. We examine the interdependence of equity volatilities between Hong-Kong, Indonesia, Japan, Malaysia, the Philippines, Singapore, Thailand and the United States. Our main issue is whether shift-volatility needs to be considered as a regional phenomenon, or from a more global perspective. We propose several indicators that are be useful to guide the investors in their arbitrage behavior in the different regimes: the duration of each state, the sensitivity of the volatility in a market following a change in the volatility in another market. Finally, we are able to identify which market can be considered as leading markets in terms of volatility.
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https://hal-univ-paris10.archives-ouvertes.fr/hal-01410782
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Submitted on : Tuesday, December 6, 2016 - 5:35:15 PM
Last modification on : Wednesday, August 5, 2020 - 3:09:08 AM

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Marcel Aloy, Gilles de Truchis, Gilles Dufrénot, Benjamin Keddad. Shift-volatility transmission in East Asian equity markets: new indicators. Market Microstructure and Nonlinear Dynamics, Springer, 2014, 978-3-319-05211-3. ⟨10.1007/978-3-319-05212-0_10⟩. ⟨hal-01410782⟩

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