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Jump Spillover in International Equity Markets

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Author

Summary, in English

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.

Publishing year

2006

Language

English

Pages

167-203

Publication/Series

Journal of Financial Econometrics

Volume

4

Issue

2

Document type

Journal article

Publisher

Oxford University Press

Topic

  • Economics

Keywords

  • systemic risk
  • stochastic volatility
  • spillover
  • Markov chain Monte Carlo
  • event risk
  • jump-diffusion model

Status

Published

ISBN/ISSN/Other

  • ISSN: 1479-8409