scholarly journals Volatility Spillovers between Equity and Green Bond Markets

2020 ◽  
Vol 12 (9) ◽  
pp. 3722 ◽  
Author(s):  
Daehyeon Park ◽  
Jiyeon Park ◽  
Doojin Ryu
Keyword(s):  
Equity Markets ◽  
Spillover Effects ◽  
The Other ◽  
Bond Markets ◽  
Volatility Spillover ◽  
Asymmetric Volatility ◽  
Volatility Spillovers ◽  
Financial Products ◽  
Return Dynamics ◽  
Positive Return

This study examines the market for green bonds, which have been in the spotlight as an eco-friendly investment product. We analyze the volatility dynamics and spillovers between the equity and green bond markets. As the return dynamics of financial products typically exhibit asymmetric volatility, we check whether green bonds also share this property. Our analyses confirm that although green bonds do exhibit the asymmetric volatility phenomenon, their volatility, unlike that of equity, is also sensitive to positive return shocks. An analysis of the association between the green bond and equity markets confirms that although the two markets have some volatility spillover effects, neither responds significantly to negative shocks in the other market.

VOLATILITY SPILLOVER EFFECT OF FEDERAL RESERVE’S BALANCE SHEET ON THE FINANCIAL AND GOODS MARKETS OF INDO-PAK REGION

2019 ◽  
Vol 14 (03) ◽  
pp. 1950015
Author(s):  
QASIM RAZA SYED ◽  
WASEEM SHAHID MALIK ◽  
BISHARAT HUSSAIN CHANG
Keyword(s):  
Financial Markets ◽  
Federal Reserve ◽  
Balance Sheet ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The Other ◽  
Volatility Spillover ◽  
Monthly Basis ◽  
Volatility Spillovers ◽  
Volatility Spillover Effect

This paper examines the volatility spillover effect of the balance sheet of Federal Reserve (Fed) on the financial and goods markets of Pakistan, India and Bangladesh (collectively known as the Indo-Pak region). Diagonal BEKK-GARCH methodology is used to capture the volatility spillover effects on Indo-Pak economies. This study took data from the year 2004 to year 2019 on a monthly basis. The findings of the paper describe that there are volatility spillovers from Fed’s balance sheet to the financial markets of Pakistan, India and Bangladesh economies. On the other hand, there is also evidence of volatility spillovers from the balance sheet of Fed to the goods markets of these economies.

The connectedness between Sukuk and conventional bond markets and the implications for investors

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Aristeidis Samitas ◽  
Spyros Papathanasiou ◽  
Drosos Koutsokostas
Keyword(s):  
Asset Allocation ◽  
Spillover Effects ◽  
Bond Markets ◽  
Data Set ◽  
Content Type ◽  
Vector Autoregressive ◽  
Volatility Spillovers ◽  
Exogenous Shocks ◽  
Time Varying Parameter ◽  
Optimal Hedge

Purpose The purpose of this paper is to examine the connectedness across a variety of Sukuk and conventional bond indices and the implications for optimal asset allocation for the period January 1, 2010–April 30, 2020. Design/methodology/approach The data set consists of five major Sukuk (Dow Jones Sukuk, Thompson Reuters BPA Malaysia Sukuk, Indonesia Government Sukuk, S&P MENA Sukuk and Tadawul Sukuk and Bonds Index) and five conventional bond indexes, one for developed (USA) and four for emerging markets (Malaysia, Indonesia, Africa and Qatar). This study investigates the connectedness and volatility spillover effects across the aforementioned indices, by following the Diebold and Yilmaz (2012) approach, based on the time-varying parameter vector autoregressive (TVP-VAR) model. In addition, this paper provides optimal hedge ratios and portfolio weights for investors. Findings The empirical results show that Sukuk and conventional bond markets are highly integrated and that total connectedness exhibits sensitivity to exogenous shocks. The Dow Jones and the Malaysian Sukuk indices are the primary shock transmitters to other markets. However, the weak volatility spillovers between the Dow Jones and conventional bonds suggest that opportunities for optimal asset allocation may in fact exist. The highest (lowest) hedging effectiveness can be achieved by taking a short position in Malaysian (Qatarian) bonds. Originality/value To the best of the knowledge, this is the largest sample taken into account to investigate the connectedness between Sukuk and conventional bonds.

The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages

2014 ◽  
Vol 32 (6) ◽  
pp. 610-641 ◽  
Author(s):  
Kim Hiang Liow
Keyword(s):  
Real Estate ◽  
Spillover Effects ◽  
Real Estate Market ◽  
Market Volatility ◽  
Volatility Spillover ◽  
Content Type ◽  
Real Estate Markets ◽  
Volatility Spillovers ◽  
Public Property ◽  
Property Markets

Purpose – The purpose of this paper is to examine weekly dynamic conditional correlations (DCC) and vector autoregressive (VAR)-based volatility spillover effects within the three Greater China (GC) public property markets, as well as across the GC property markets, three Asian emerging markets and two developed markets of the USA and Japan over the period from January 1999 through December 2013. Design/methodology/approach – First, the author employ the DCC methodology proposed by Engle (2002) to examine the time-varying nature in return co-movements among the public property markets. Second, the author appeal to the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) to investigate the volatility spillover effects across the real estate markets. Finally, the spillover framework is able to combine with recent developments in time series econometrics to provide a comprehensive analysis of the dynamic volatility co-movements regionally and globally. The author also examine whether there are volatility spillover regimes, as well as explore the relationship between the volatility spillover cycles and the correlation spillover cycles. Findings – Results indicate moderate return co-movements and volatility spillover effects within and across the GC region. Cross-market volatility spillovers are bidirectional with the highest spillovers occur during the global financial crisis (GFC) period. Comparatively, the Chinese public property market's volatility is more exogenous and less influenced by other markets. The volatility spillover effects are subject to regime switching with two structural breaks detected for the five sub-groups of markets examined. There is evidence of significant dependence between the volatility spillover cycles across stock and public real estate, due to the presence of unobserved common shocks. Research limitations/implications – Because international investors incorporate into their portfolio allocation not only the long-term price relationship but also the short-term market volatility interaction and return correlation structure, the results of this study can shed more light on the extent to which investors can benefit from regional and international diversification in the long run and short-term within and across the GC securitized property sector, with Asian emerging market and global developed markets of Japan and USA. Although it is beyond the scope of this paper, it would be interesting to examine how the two co-movement measures (volatility spillovers and correlation spillovers) can be combined in optimal covariance forecasting in global investing that includes stock and public real estate markets. Originality/value – This is one of very few papers that comprehensively analyze the dynamic return correlations and conditional volatility spillover effects among the three GC public property markets, as well as with their selected emerging and developed partners over the last decade and during the GFC period, which is the main contribution of the study. The specific contribution is to characterize and measure cross-public real estate market volatility transmission in asset pricing through estimates of several conditional “volatility spillover” indices. In this case, a volatility spillover index is defined as share of total return variability in one public real estate market attributable to volatility surprises in another public real estate market.

scholarly journals Asymmetric Volatility in the Nepalese Stock Market

2021 ◽  
Vol 22 (1) ◽  
pp. 41-59
Author(s):  
Dinesh Gajurel
Keyword(s):  
Stock Market ◽  
Spillover Effect ◽  
Equity Markets ◽  
Spillover Effects ◽  
Stock Market Index ◽  
International Equity Markets ◽  
Asymmetric Volatility ◽  
Market Index ◽  
International Equity ◽  
Indian Stock Market

This paper investigates the asymmetric volatility behavior of the Nepalese stock market including spillover effects from the US and Indian equity markets. I modeled asymmetric volatility within a generalized autoregressive conditional heteroskdasticy framework using comprehensive data for the Nepal stock market index. The results reveal a very different asymmetry compared to the results in other international equity markets: positive shocks increase volatility by more than negative shocks. The results further suggest that uninformed investors play a significant role in the Nepalese stock market. The spillover effect from the Indian stock market to the Nepalese stock market is negative. Overall, I conclude that a “fear of missing out” (FOMO) of noise traders as well as the deployment of pump and dump schemes are inherent features of the Nepalese stock market. The findings are very useful to policy makers and investors alike.

Return and volatility spillovers between Bitcoin and other asset classes in Turkey

2019 ◽  
Vol 14 (3) ◽  
pp. 209-220 ◽  
Author(s):  
Gulin Vardar ◽  
Berna Aydogan
Keyword(s):  
Spillover Effects ◽  
Portfolio Diversification ◽  
Volatility Spillover ◽  
Policy Makers ◽  
Content Type ◽  
Empirical Results ◽  
Volatility Spillovers ◽  
Regulatory Bodies ◽  
Asset Classes ◽  
Econometric Technique

Purpose With a substantial return and volatility characteristic of Bitcoin, which may be seen as a new category of investment assets, better understanding of the nature of return and volatility spillover can help investors and regulators in achieving the potential goal from portfolio diversification. The paper aims to discuss these issues. Design/methodology/approach This paper explores the return and volatility transmission between the Bitcoin, as the largest cryptocurrency, and other traditional asset classes, namely stock, bond and currencies from the standpoint of Turkey over the period July, 2010–June, 2018 using the newly developed multivariate econometric technique, VAR–GARCH, in mean framework with the BEKK representation. Findings The empirical results reveal the existence of the positive unilateral return spillovers from the bond market to Bitcoin market. Regarding the results of shock and volatility spillovers, there exists strong evidence of bidirectional cross-market shock and volatility spillover effects between Bitcoin and all other financial asset classes, except US Dollar exchange rate. Originality/value The important extention is the adoption of a newly developed multivariate econometric technique, VAR–GARCH, in mean framework with the BEKK representation, proposed by Engle and Kroner (1995), which is employed for the first time specifically to examine the extent of integration in terms of volatility and return between Bitcoin and key asset classes. Second, Bitcoin has experienced a rapid growth since around a decade and a number of investors are showing interest in its potential as an integrative part of portfolio diversification. The information provided by empirical results gives empirical bases from which to address topics concerning hedging purposes and optimal portfolio allocation. It is also increasingly important to analyze the current behavior of Bitcoin in relation to other assets to provide policy makers and regulatory bodies with guidance on the role of the Bitcoin as an investment asset in Turkey. Thus, this is the first serious attempt at exploring the potential for Bitcoin to offer diversification opportunities in the context of Turkey.

Dynamic Co-movement and Volatility Spillover Effect Between Sukuk and Conventional Bonds:A Comparison Study Between ASEAN and GCC

2021 ◽  
pp. 097215092110262
Author(s):  
Nevi Danila ◽  
Noor Azlinna Azizan ◽  
Eddy Suprihadi ◽  
Bunyamin Bunyamin
Keyword(s):  
Spillover Effect ◽  
Global Market ◽  
Bond Markets ◽  
Volatility Spillover ◽  
Conditional Correlation ◽  
Kingdom Of Saudi Arabia ◽  
Macroeconomic Factors ◽  
Dynamic Conditional Correlation ◽  
Dynamic Correlation ◽  
Volatility Spillovers

Sukuk and conventional bonds gain their popularity in the global market. Hence, an observation of the dynamic correlation and transmission of volatility between these two instruments is relevant. This article investigates the volatility spillover of sukuk and conventional bond markets by using GARCH-BEKK model. Then, we measure the dynamics of the co-movement of both markets by using GARCH-DCC model, and finally, we examine the macroeconomic factors that determine the dynamic conditional correlation between sukuk and conventional bonds in two Association of Southeast Asian Nations (ASEAN) markets (i.e., Indonesia and Malaysia) and four Gulf Cooperation Council (GCC) markets (i.e., Kingdom of Saudi Arabia, UAE, Qatar and Oman). The data reveal unidirectional and bidirectional volatility spillovers of sukuk and bond indices. The results also show strong evidence of dynamic conditional correlation for all markets. On the basis of the BEKK and dynamic conditional correlation (DCC) results, we infer that bonds and sukuk in ASEAN and GCC markets show the efficiency of the markets, which do not offer any diversification benefits to investors for having both instruments in their portfolios. As regards portfolio diversification strategies, investors must pay attention to the co-movements and spillover of both markets accordingly. Finally, only Oman market is influenced by all macroeconomic variables.

Volatility spillovers among G7, E7 stock markets and cryptocurrencies

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Berna Aydoğan ◽  
Gülin Vardar ◽  
Caner Taçoğlu
Keyword(s):  
Financial Market ◽  
Portfolio Management ◽  
Stock Markets ◽  
Negative Impact ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Content Type ◽  
Volatility Spillovers ◽  
Dynamic Relationship ◽  
The Stability

PurposeThe existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between traditional financial market asset classes and cryptocurrencies. The purpose of this paper is to investigate the dynamic relationship between the cryptocurrencies, namely Bitcoin and Ethereum, and stock market indices of G7 and E7 countries to analyze the return and volatility spillover patterns among these markets by means of multivariate (MGARCH) approach.Design/methodology/approachApplying the newly developed VAR-GARCH-in mean framework with the BEKK representation, the empirical results reveal that there exists an evidence of mean and volatility spillover effects among Bitcoin and Ethereum as the proxies for the cryptocurrencies, and stock markets reviewed.FindingsInterestingly, the direction of the return and volatility spillover effects is unidirectional in most E7 countries, but bidirectional relationship was found in most G7 countries. This can be explained as the presence of a strong return and volatility interaction among G7 stock markets and crypto market.Originality/valueOverall, the results of this study are of particular interest for portfolio management since it provides insights for financial market participants to make better portfolio allocation decisions. It is also increasingly important to understand the volatility transmission mechanism across these markets to provide policymakers and regulatory bodies with guidance to eliminate the negative impact of cryptocurrency's volatility on the stability of financial markets.

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