%0 Book Section
%T Shift-volatility transmission in East Asian equity markets: new indicators
%+ Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM)
%+ EconomiX
%A Aloy, Marcel
%A de Truchis, Gilles
%A Dufrénot, Gilles
%A Keddad, Benjamin
%@ 978-3-319-05211-3
%B Market Microstructure and Nonlinear Dynamics
%I Springer
%8 2014-06
%D 2014
%R 10.1007/978-3-319-05212-0_10
%K Finance general
%K Macroeconomics
%K Monetary Economics
%K Financial Economics
%K Quantitative Finance
%Z Humanities and Social Sciences/Economics and FinanceBook sections
%X 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.
%G English
%L hal-01410782
%U https://hal.parisnanterre.fr//hal-01410782
%~ CNRS
%~ UNIV-PARIS10
%~ AO-ECONOMIE
%~ ECONOMIX
%~ SHS
%~ UPN
%~ GREQAM
%~ EHESS
%~ EC-MARSEILLE
%~ UNIV-AMU
%~ AMSE
%~ UNIV-PARIS-LUMIERES
%~ UNIV-PARIS-NANTERRE