Jump Spillover in International Equity Markets
Research output: Contribution to journal › Article
In this article we study jump spillover effects between a number of country equity indexes. In order to identify the latent historical jumps of each index, we use a Bayesian approach to estimate a jump-diffusion model on each index. We look at the simultaneous jump intensities of pairs of countries and the probabilities that jumps in large countries cause jumps or unusually large returns in other countries. In all cases, we find significant evidence of jump spillover. In addition, we find that jump spillover seems to be particularly large between countries that belong to the same regions and have similar industry structures, whereas, interestingly, the sample correlations between the countries have difficulties in capturing the jump spillover effects.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Journal||Journal of Financial Econometrics|
|Publication status||Published - 2006|