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Volatility spillovers, interdependence and comovements: a Markov Switching approach

Gallo, Giampiero M. and Otranto, Edoardo (2008) Volatility spillovers, interdependence and comovements: a Markov Switching approach. Computational Statistics & Data Analysis, Vol. 52 (6), p. 3011-3026. ISSN 0167-9473. Article.

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DOI: 10.1016/j.csda.2007.09.016

Abstract

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the role of one market relative to another (spillover, interdependence, comovement, independence, Granger noncausality). The model is estimated on the weekly high–low range of five Asian markets, assuming a central (but not necessarily dominant) role for Hong Kong. The results show plausible market characterizations over the long run with a spillover from Hong Kong to Korea and Thailand, interdependence with Malaysia and comovement with Singapore.

Item Type:Article
ID Code:2011
Status:Published
Refereed:Yes
Uncontrolled Keywords:Markov Switching, multiple chains, volatility, spillover effect, comovements
Subjects:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Divisions:001 Università di Sassari > 01 Dipartimenti > Economia, impresa, regolamentazione
Publisher:Elsevier
ISSN:0167-9473
Deposited On:18 Aug 2009 10:06

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