Information Diffusion across Financial Markets

Information Diffusion across Financial Markets

Bibliographic Details
Main Author: Ding, Liang
Language:English
Published: Kent State University / OhioLINK 2010
Subjects:
Finance
Market Linkage
Financial Crisis
CDX
Contagion
Volatility
Liquidity
VIX Index
Network
Online Access:http://rave.ohiolink.edu/etdc/view?acc_num=kent1281058095
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spelling ndltd-OhioLink-oai-etd.ohiolink.edu-kent12810580952021-08-03T05:37:26Z Information Diffusion across Financial Markets Ding, Liang Finance Market Linkage Financial Crisis CDX Contagion Volatility Liquidity VIX Index Network Financial markets demonstrate a large degree of comovement. Such comovement is important for a variety of investment and risk management decisions. This research is motivated by 2007-2008 financial turmoil. During the turmoil period, the markets co-move locally and globally, making it difficult for investors to hedge the risk. Although the cross market linkage is a topic of ongoing interest to researchers and practitioners, it seems that we are still in the preliminary stage to fully understand the cross market linkages, and even far away to prevent the crisis transmitting across markets. This dissertation attempts to answer two main questions, what are the major channels that link financial markets, and how those channels change in different periods. In this study, we examine two empirical tests on domestic markets and international markets linkage respectively. The first test focuses on the financial markets within U.S, and treats the stock, bond, CDS, stock option markets as a closely connected network. From 2004-2009, our tests find no evidence that static cross-market linkage becomes stronger in the crisis period than in the normal period. In terms of dynamic linkage, we find the information flow pattern become stronger in the crisis period. And we identify the role of volatility and liquidity in the financial network. The second test focuses on the international markets linkage using the derivatives market information. We use a family of volatility indexes from 1999-2009, including VIX, VSTOXX, VDAXNEW, VXJ, and VSMI, to filter the information diffusion through other channels. Therefore, the tests contribute a unique perspective to find out how the investors expect the interaction of the near-term volatility across U.S. and international markets. Our tests provide evidence that the linkages across corresponding markets are stable in the past decade. And we also find U.S. market plays a stronger role in a two way information flow structure with other markets through volatility linkage. The dissertation contributes a comprehensive research on the financial network linkage. The results obtained in this dissertation will improve our understanding of information diffusion process across financial markets and are expected to fill significant gaps in the current literature. 2010-08-16 English text Kent State University / OhioLINK http://rave.ohiolink.edu/etdc/view?acc_num=kent1281058095 http://rave.ohiolink.edu/etdc/view?acc_num=kent1281058095 unrestricted This thesis or dissertation is protected by copyright: all rights reserved. It may not be copied or redistributed beyond the terms of applicable copyright laws.
collection NDLTD
language English
sources NDLTD
topic Finance
Market Linkage
Financial Crisis
CDX
Contagion
Volatility
Liquidity
VIX Index
Network
spellingShingle Finance
Market Linkage
Financial Crisis
CDX
Contagion
Volatility
Liquidity
VIX Index
Network
Ding, Liang
Information Diffusion across Financial Markets
author Ding, Liang
author_facet Ding, Liang
author_sort Ding, Liang
title Information Diffusion across Financial Markets
title_short Information Diffusion across Financial Markets
title_full Information Diffusion across Financial Markets
title_fullStr Information Diffusion across Financial Markets
title_full_unstemmed Information Diffusion across Financial Markets
title_sort information diffusion across financial markets
publisher Kent State University / OhioLINK
publishDate 2010
url http://rave.ohiolink.edu/etdc/view?acc_num=kent1281058095
work_keys_str_mv AT dingliang informationdiffusionacrossfinancialmarkets
_version_ 1719422631781859328

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