Volatility spillover among Taiwan, Europe and U.S.A. stock markets
碩士 === 中國文化大學 === 國際企業管理研究所 === 99 === In the era of globalization, information is reflected in the markets rapidly around the world. The impacts on the returns or volatility in one market have more influence on the others than ever. The volatility spillovers have been described as an astronomical p...
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ndltd-TW-099PCCU03210522015-10-28T04:07:09Z http://ndltd.ncl.edu.tw/handle/61400820910793785337 Volatility spillover among Taiwan, Europe and U.S.A. stock markets 台、歐美股市間之波動外溢效果 Wu, Mingshan 吳明珊 碩士 中國文化大學 國際企業管理研究所 99 In the era of globalization, information is reflected in the markets rapidly around the world. The impacts on the returns or volatility in one market have more influence on the others than ever. The volatility spillovers have been described as an astronomical phenomenon: a meteor shower in New York will almost surely be followed by one in Tokyo. The historical volatility was employed in the previous studies on the interna-tional volatility spillovers, and the empirical results reveal that volatility spillovers do exist and the effects are asymmetric. In addition to the historical volatility, the implied volatility is another measure of volatility. The volatility index (VIX), created by the implied volatility, has become an important measurement in these years because it represents the expectation of investors on the future realized volatility and the senti-ments of investors in the market. It is often referred to as the investor fear gauge. Plen-ty of media reported the enormous climb of the VIX during the global financial crisis in 2008. Since most studies used historical volatility as data and very few employed the VIX, the research plan examines the effects and asymmetries of volatility spillovers among Taiwan, Europe and the States using the VIX. Luo, Wuchang Lou, Tienwei 駱武昌 婁天威 2011 學位論文 ; thesis 56 zh-TW |
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碩士 === 中國文化大學 === 國際企業管理研究所 === 99 === In the era of globalization, information is reflected in the markets rapidly around the world. The impacts on the returns or volatility in one market have more influence on the others than ever. The volatility spillovers have been described as an astronomical phenomenon: a meteor shower in New York will almost surely be followed by one in Tokyo. The historical volatility was employed in the previous studies on the interna-tional volatility spillovers, and the empirical results reveal that volatility spillovers do exist and the effects are asymmetric. In addition to the historical volatility, the implied volatility is another measure of volatility. The volatility index (VIX), created by the implied volatility, has become an important measurement in these years because it represents the expectation of investors on the future realized volatility and the senti-ments of investors in the market. It is often referred to as the investor fear gauge. Plen-ty of media reported the enormous climb of the VIX during the global financial crisis in 2008. Since most studies used historical volatility as data and very few employed the VIX, the research plan examines the effects and asymmetries of volatility spillovers among Taiwan, Europe and the States using the VIX.
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author2 |
Luo, Wuchang |
author_facet |
Luo, Wuchang Wu, Mingshan 吳明珊 |
author |
Wu, Mingshan 吳明珊 |
spellingShingle |
Wu, Mingshan 吳明珊 Volatility spillover among Taiwan, Europe and U.S.A. stock markets |
author_sort |
Wu, Mingshan |
title |
Volatility spillover among Taiwan, Europe and U.S.A. stock markets |
title_short |
Volatility spillover among Taiwan, Europe and U.S.A. stock markets |
title_full |
Volatility spillover among Taiwan, Europe and U.S.A. stock markets |
title_fullStr |
Volatility spillover among Taiwan, Europe and U.S.A. stock markets |
title_full_unstemmed |
Volatility spillover among Taiwan, Europe and U.S.A. stock markets |
title_sort |
volatility spillover among taiwan, europe and u.s.a. stock markets |
publishDate |
2011 |
url |
http://ndltd.ncl.edu.tw/handle/61400820910793785337 |
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AT wumingshan volatilityspilloveramongtaiwaneuropeandusastockmarkets AT wúmíngshān volatilityspilloveramongtaiwaneuropeandusastockmarkets AT wumingshan táiōuměigǔshìjiānzhībōdòngwàiyìxiàoguǒ AT wúmíngshān táiōuměigǔshìjiānzhībōdòngwàiyìxiàoguǒ |
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