Volatility spillovers and the effect of news announcements

被引：76

作者：

Jiang, George J. ^{[2
,3
]}

Konstantinidi, Eirini ^{[4
]}

Skiadopoulos, George ^{[1
,5
,6
]}

机构：

[1] Univ Piraeus, Dept Banking & Financial Management, Piraeus, Greece

[2] Univ Arizona, Eller Coll Management, Dept Finance, Tucson, AZ 85721 USA

[3] Yunnan Univ Finance & Econ, Yunnan, Peoples R China

[4] Univ Exeter, Sch Business, Xfi Ctr Finance & Investment, Exeter EX4 4QJ, Devon, England

[5] Univ Warwick, Warwick Business Sch, Financial Opt Res Ctr, Coventry CV4 7AL, W Midlands, England

[6] City Univ, Cass Business Sch, Bangor, Gwynedd, Wales

来源：

JOURNAL OF BANKING & FINANCE | 2012年 / 36卷 / 08期

关键词：

Contagion; Scheduled news announcements; Unscheduled news announcements; Implied volatility; Implied volatility index; Volatility spillovers; IMPLIED VOLATILITY; MACROECONOMIC NEWS; OPTION PRICES; INFORMATION; TRANSMISSION; UNCERTAINTY; RESOLUTION; MARKETS; IMPACT; STOCK;

D O I：

10.1016/j.jbankfin.2012.04.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the effect of US and European news announcements on the spillover of volatility across US and European stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find significant spillovers of implied volatility between US and European markets as well as within European markets. We observe a stark contrast in the effect of scheduled versus unscheduled news releases. Scheduled (unscheduled) news releases resolve (create) information uncertainty, leading to a decrease (increase) in implied volatility. Nevertheless, news announcements do not fully explain the volatility spillovers, although they do affect the magnitude of volatility spillovers. Our results are robust to extreme market events such as the recent financial crisis and provide evidence of volatility contagion across markets. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：2260 / 2273

页数：14

共 34 条

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