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US dairy markets have become increasingly volatile, which presents a challenge for dairy farmers and industry participants to manage risk, disturbing the stability of the industry. However, the study of dairy volatility is limited. This article investigates the return comovement and price volatility of four major US dairy commodities: butter, cheese, Class III milk, and dry whey. We also investigate the COVID-19 pandemic's impact on dairy volatility. Our results show that dairy commodities returns and volatilities are positively correlated, but only cheese and Class III milk correlate strongly. The volatilities of butter, cheese, and Class III milk are impacted comparably by return shocks and past volatility. However, dry whey volatility is predominantly driven by past volatility. Using multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models, we demonstrate that return comovements are time-varying and volatilities are interdependent among dairy commodities. Volatility spillover effects are observed among dairy commodities, especially between dry whey and cheese. The COVID-19 pandemic amplifies dairy volatilities and spillover effects, with a more substantial impact on cheese and milk. Interestingly, dry whey experiences the least impact and performs better during the pandemic. Our results aid market participants in risk management and inform policymakers' decision-making processes. [ABSTRACT FROM AUTHOR]

Finding suitable safe haven opportunities to protect emerging investments, such as cryptocurrencies, from external factors, such as Geopolitical risk, is a major concern for investors. Recognizing safe havens for these assets can help investors and traders manage risk, stabilize their portfolios, diversify their investments, and preserve capital against Geopolitical risk. To find the safe havens for cryptocurrencies regarding Geopolitical risk, this study proposes an approach to identifying the most suitable safe havens for cryptocurrencies highly affected by Geopolitical risk. First, the study identifies the cryptocurrencies that are more influenced by Geopolitical risk than others; by this, the assets that require hedging are discovered. Then, a new method, quantile-on-quantile regression, is employed to test the hedging ability of multiple assets from different markets. Once the outcomes of the quantile-on-quantile regression are cleared, the hedge effectiveness index by dynamic conditional correlation GARCH is calculated to validate the results. Both methods yield similar results, suggesting that the Forex market and stock indexes are the most suitable options as safe havens for cryptocurrencies. The study also finds that assets from the energy sector of the commodity market, such as Crude Oil and Natural Gas, are the weakest safe haven options. [ABSTRACT FROM AUTHOR]

This research delves into the interconnectedness and volatility dynamics within sectoral indices amid the COVID-19 pandemic, to determine the most appropriate model for elucidating these dynamics. It addresses the burgeoning interest among investors in comprehending sectoral dynamics within India's stock markets. Leveraging five years of daily closing price data (April 2017 to December 2021) sourced from the National Stock Exchange's official website for 16 sectoral indices and the Nifty50 index, the study employs the Diebold-Yilmaz Spillover 2012 framework alongside four GARCH models (E-GARCH, T-GARCH, FIE-GARCH, and FE-GARCH). Empirical analysis underscores that the mid-small financial sector is the riskiest sector among others, advocating for the inclusion of the pharmaceutical sector to mitigate portfolio risks. Furthermore, the research underscores the persistence of volatility across sectors and identifies the TGARCH model as the appropriate model to capture the volatility for most sectoral indices. [ABSTRACT FROM AUTHOR]

This study investigates the return and volatility spillovers between BRICS bonds and oil price volatility in the pre-COVID and during COVID periods by employing the bivariate EGARCH model, cross-quantilogram approach, and wavelet coherence framework. The findings are mixed when comparing the volatility transmissions with various nations and in two periods since variations in return and volatility spillovers between oil prices and bond market returns have co-moved through time. In particular, they increased during the COVID-19 outbreak, which supports the idea that financial market integration intensified during the crisis. Additionally, oil prices have a positive impact on bond markets in Russia and South Africa in both periods, while there are weak and negative relationships in China, India, and Brazil in pre-COVID and pandemic periods. This information has consequences for risk management and portfolio decisions for investors with a substantial position in the BRICS bonds market. [ABSTRACT FROM AUTHOR]

Investor sentiment has the potential to serve as a predictive factor for cryptocurrency assets, yet its impact on volatility spillover across markets remains uncertain. This research investigates the influence of investor sentiment classification on the volatility spillover from stablecoins to conventional financial markets. Empirical findings reveal the role of stablecoins as net volatility receivers from financial assets during extreme fear sentiment conditions, suggesting that stablecoins may function as a potential safe-haven when investors experience significant fear, offering insights to investors and portfolio managers regarding the potential use of stablecoins as a risk mitigation tool within an investment portfolio. IMPACT STATEMENT: Stablecoins play a pivotal role in stabilizing financial markets, particularly during periods of extreme fear and volatility. Using advanced modeling, the analysis uncovers how stablecoins act as critical safe-haven assets, absorbing shocks from both cryptocurrency and traditional markets. This ability to cushion volatility provides investors with a powerful tool for risk mitigation, especially in times of market turbulence. The findings not only highlight stablecoins' growing relevance in portfolio management but also offer key insights for policymakers looking to enhance the resilience of financial systems. By bridging the gap between digital and conventional assets, stablecoins are shown to be vital in maintaining liquidity and market stability, making them essential instruments for navigating both speculative and traditional investment landscapes. [ABSTRACT FROM AUTHOR]

This study empirically investigates the volatility spillover among the sectors of emerging markets, that is, India and China and developed markets, that is, the United Kingdom (UK) and the United States (US). Focusing on financial services, auto, oil and gas, Information Technology (IT), healthcare and real estate sectors, the research employs the BEKK GARCH and GO-GARCH models to analyze the daily data. Results reveal that the own market's conditional volatility is primarily responsible for the volatility spillover in every sector. Further, the study also found evidence of major cross-market volatility spillover in the oil and gas, IT, healthcare and real estate sectors of emerging and developed markets. Specifically, the US IT sector dominated other markets' IT sectors. The hedge ratio indicates that hedging between sectors of the emerging and developed markets is the cheapest, contrasting with the higher cost for hedging solely with the emerging or developed markets sectors. Investors are advised to monitor and rebalance their portfolios based on the volatility and dynamics of developed market sectors for optimum return. Additionally, the study found that the BEKK model is better for risk-return optimization. Impact Statement: Assessing the volatility spillovers among markets and sectors reveals the level of capital market integration. The evolving interconnections and volatilities present diverse challenges for investors, portfolio managers, and regulators. This underscores the importance of close and continuous monitoring of sector-specific developments in both emerging and developed markets. Such vigilance enables investors and risk managers to rebalance portfolios and hedge positions more effectively and promptly. Importantly, these findings have varied implications for stakeholders across the financial landscape. [ABSTRACT FROM AUTHOR]

When facing volatility spillovers in energy markets, all players require risk mitigation strategies to insulate themselves from the same. To prevent energy markets from being strongly crashed by volatility spillovers, which even trigger financial crises, in this paper, we use network analysis as an aid to identify spillovers among the main nine energy markets. Specifically, we first measure the volatility spillovers among the main energy markets through a BEKK model. Based on this, influential markets are identified by using network analysis. The coal, wind and water energy markets should be paid close attention as they occupy vital roles in the volatility spillover network. Even though clean energy markets contribute more in terms of market stability, traditional energy markets are still important to ensure energy supply when experiencing extreme crashes caused by COVID-19. In this paper, we make the contributions to analysing volatility spillovers in multiple energy markets and identifying crucial energy markets in volatility spillover networks, then provide more market information that helps the government and policymakers effectively manage systemic risks caused by volatility spillovers. The effective risk management of crucial energy markets enhances economic recovery and stability, especially in the post-COVID-19 era. [ABSTRACT FROM AUTHOR]

This study investigates the interlinkage of gold markets and Vietnamese asset classes at multiple investment horizons using a hybrid wavelet-based VAR-GARCH-BEKK approach. The findings show that the spillover effects between time series are time-varying across various wavelet scales in terms of direction and strength. The connectedness for various market pairs is weak in the short run but eventually strengthened towards the long run. We also analyse the multiscale behaviour of hedge ratio for optimal portfolio allocation decisions, which decompose volatility spillovers, allowing investors to adapt their hedging strategies. [ABSTRACT FROM AUTHOR]

It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international markets is useful for investors and policymakers. This paper focuses on information contagion across various industrial sectors, investigates portfolio strategies based on the volatility spillovers, and aims to clarify whether an investment strategy based on volatility spillovers benefits investors. Regarding portfolio reallocation, as soon as we observe an increase or a decrease in the effect/timing of a volatility spillover, we obtain a smaller number of reallocations and a more informative portfolio. Our results compare our proposed method with periodic portfolios, for example, daily or annually, showing that our proposed method has larger returns and a greater Sharpe ratio than the others. [ABSTRACT FROM AUTHOR]

This paper examines the volatility spillover between the soybean futures contracts traded in the US Chicago Board of Trade (CBOT) and China Dalian Commodity Exchange (DCE) through a normalized Copula – GARCH(1,1) - t model with structural changes. The structural change points are identified through a combination of Bayesian diagnosis with Z-test. The study finds that the volatility spillover exists between the DCE and CBOT soybean futures and weakens through time. We further identify seven structural change points in the volatility spillover relationship, suggesting it is going through significant structural changes. The changes are related to major social-political events including the trade conflict between China and the US, the COVID-19 pandemic and the Russia-Ukraine war. [ABSTRACT FROM AUTHOR]

Our research examines connectedness landscape and the dynamic spillovers of volatility and returns in the network comprising eleven agricultural commodities and US shadow short rate in a quality of inflation indicator, observed in monetary policymaking. We use daily data from November 2000 to May 2021. We document monetary policy as a net transmitter of spillover for both return and volatility of agricultural commodities. We find significant volatility connectedness among agricultural commodities. The connectedness is shown to be of a time-varying nature, exhibiting considerable increases during periods of market turmoil. The results of this paper provide relevant insights into the interrelations of US monetary policy and agricultural commodity prices, being, hence, potentially useful for commodity investors, brokers and dealers, as well as for market regulators designing policy solutions for financial stability enhancements. [ABSTRACT FROM AUTHOR]

The study investigates the integration between the five largest emerging stock markets, Morgan Stanley Capital Emerging Market Index, and global financial markets like the US S&P 500, Brent Crude Oil and Dollar Index based on wavelet denoised volatility spillover in time and frequency domain using forecasted error variance decomposition framework. It is found that the impact of noise on the connectedness is more pronounced in the short run and declines in longer term. Further, long-term connectedness which is much higher than that of short-term connectedness confirms the existence of fundamental (noisy) concernedness in the long (short) term. The impact of noise both varies by time and frequency. The policy implications are discussed. [ABSTRACT FROM AUTHOR]

This paper examines the interconnectedness between the COVID-19 uncertainty index and stock returns in selected ASEAN countries. Results from the study, which uses the dynamic connectedness approach, show that on average, 47.06% of a shock on one index spills over to all other indices. This indicates that stock market returns are highly interconnected to the COVID-19 uncertainty index in ASEAN countries. However, the COVID-19 uncertainty index is not a predictor of stock returns in the ASEAN countries chosen for the study. [ABSTRACT FROM AUTHOR]

In this study, a dynamic spillover index method based on generalized variance decomposition is used to measure the volatility and return spillover effects of futures and spot markets on China's price levels (consumer and producer price indices) at different time-frequencies. The results indicate that both domestic and foreign futures and spot markets exerted time-varying volatility and return spillover effects on China's price levels and that major global crises aggravate the overall volatility and return spillover effect of the global futures and spot markets. In addition, the spillover effect of domestic and foreign futures and spot markets on China's price levels is asymmetrical. The results of this study also indicate that the longer the frequency of a cycle is, the stronger the spillover effect of each market on price fluctuations is, and the weaker the return spillover effect is. Finally, the results demonstrate that China can use a combination of monetary easing and credit tightening to control inflation more effectively. [ABSTRACT FROM AUTHOR]

This paper aims to examine the co-movement between the two economic powers, namely the USA and China. The authors are mainly interested in examining the dynamics of co-movements during, and in the pre-covid periods. Additionally, they have aimed to examine the volatility spillover between USA and China, during and in the pre-covid periods. In order to achieve the research-based objectives, advanced econometrics models have been applied to the data from July1, 2010, to April 30, 2021. The results show that the sample market is integrated in the long run. The results also indicate that the behaviour of the Chinese market is same as the US market, and offers negligible opportunities for investors for diversification during this time. The findings indicate that the Ganger Causality between the stock markets during crisis is significantly higher than the pre-crisis period. The results of EGARCH model confirm the presence of asymmetric volatility spillover effects between the US and Chinese markets, during the considered time periods. This study also examines the co-movement in China, grounded upon the robust approach that facilitates examining the dependence structure between the sample variables. The findings offer valuable understanding for investors who are looking for investment diversification opportunities worldwide. [ABSTRACT FROM AUTHOR]

Although a plethora of studies exists on economic uncertainty and stock market returns, our study contributes to the literature by examining the interconnectedness between Twitter uncertainty index and stock return volatility in the G7 countries. Using the dynamic connectedness approach, our results indicate volatility spillover among indices, where on average, 39.71% of a shock that occurs on one index spills over to all other indices. Further, we find the DAX index (Germany) to be a major transmitter of shocks, whereas the S&P 500 index (United States), Twitter market uncertainty, and G7 average returns are net receivers of shocks. Our findings will help investors select optimal portfolios, and policymakers frame stabilizing policy. Our findings are also robust in case of the alternate model. [ABSTRACT FROM AUTHOR]

Novel Coronavirus (COVID-19) has prominently exaggerated the stock markets of the world. It has distraught the financial and economic constancy of the globe. The study scrutinized the non-linear behavior of well-known Chinese and Pakistani stock markets, i.e. the Shanghai Composite Index (SSEC) and the Karachi Stock Exchange (KSE-100 index). The analysis utilized the VAR-DCC-MEGARCH model to determine the returns transmission and volatility spillover pattern of these markets during the standard and COVID-19 era. These results inveterate, during normal circumstances, returns generated in the financial markets of Pakistan expressively control the return movements of SSEC. However, control of Chinese stock markets on Pakistan's stock markets in terms of returns remained insignificant. The research evaluated that volatility spillover between the KSE-100 index and SSEC was insignificant during the stable periods. Nonetheless, the statistics of volatility spillovers during the pandemic era confirmed that instability in the SSEC portentously upsurges the uncertainty of the KSE-100 index. Besides, the study reported a significant leverage effect for both markets during the pandemic era. The study revealed that SSEC is the best resort for Pakistani investors to diversify financial risk. [ABSTRACT FROM AUTHOR]

In the financial markets, asset returns exhibit collective dynamics masking individual impacts on the rest of the market. Hence, it is still an open problem to identify how shocks originating from one particular asset create spillover effects across other assets. The problem is more acute when there is a large number of simultaneously traded assets, making the identification of which asset affects which other assets even more difficult. In this paper, we construct a network of the conditional volatility series estimated from asset returns and estimate a many-dimensional VAR model with unique identification criteria based on the network topology. Because of the interlinkages across stocks, volatility shock to a particular asset propagates through the network creating a ripple effect. Our method allows us to find the exact path the ripple effect follows on the whole network of assets. [ABSTRACT FROM AUTHOR]

South Africa is a major commodity exporter, yet it is not clear what impact volatility in commodity prices has on the volatility of its currency. In this study, we examine whether a comprehensive sample of commodities (metals, grains and energy) transmit (or receive) volatility spillovers to (from) the rand exchange rate against the United States dollar for the period January 2000 to May 2022. This study uses the dynamic connectedness and volatility spillover approach of Diebold and Yilmaz (2012, 2014) and Gabauer (2020). Our findings highlight the rand as a net receiver of volatility from almost every commodity examined, with silver and palladium exhibiting the strongest volatility spillover onto the rand. From a transmission perspective, there is some evidence that the rand can be considered a commodity currency for metal exports but there may also be other channels to explain the impact of these commodities on the currency. The results have important implications for policymakers, currency traders and hedgers in commodity markets. [ABSTRACT FROM AUTHOR]

We examine the relationship between oil prices, foreign exchange (FX) swaps and local interbank offered rates in the six Gulf Cooperation Council (GCC) countries. We also investigate the potential hedging and diversification benefits from adding oil positions to portfolios containing GCC FX swaps or interest rate positions. Our findings confirm that oil predicts, and in some cases causes, movements in the various GCC FX swaps and interbank offered rates. We also find that the Saudi FX swap market has the highest volatility spillover from the oil market compared to other markets in the region. Furthermore, our analysis shows a significant change in liquidity conditions in the GCC FX swap markets following a sudden shift in oil prices. Lastly, we document the presence of significant risk reduction benefits from adding oil exposure to portfolios of GCC FX swaps or interest rates with risk going down by at least half in the case of the GCC FX swaps. [ABSTRACT FROM AUTHOR]

After China's stock market crash in 2015, the Chinese government imposed a series of trading restrictions on the stock index futures market. This paper examines how the relative informational role of China's IH stock index futures and the SGX FTSE China A50 index futures varies when market trading mechanisms are subject to these major changes. We find that imposing the trading restrictions on IH futures substantially undermines their role in price discovery and volatility spillover, and renders them more susceptible to the fluctuations of A50 futures. Importantly, even after the trading restrictions are greatly eased at a later date, the importance of IH futures in price discovery and volatility spillover relative to that of A50 futures remains at a level much lower than before. Changes in liquidity and trading volumes imply that imposing the trading restrictions on IH futures drives investors to flee the IH futures market, but relaxing these restrictions is not able to attract investors back, making it difficult for IH futures to resume its important role in information transmission. [ABSTRACT FROM AUTHOR]

This paper investigates the multiscale bidirectional volatility spillover effect between the national stocks and exchange rate markets in four African countries – Nigeria, South Africa, Egypt and Morocco. Our computations involve the wavelet transformation of the empirical series, creation of the regime-dependant conditional volatilities via MS-GARCH model and measurement of the volatility spillover effect in the quantile regression framework. We find an evidence of the bidirectional volatility spillover effect, but the volatility impact from exchange rate market to stock market is stronger in all the African countries, except Nigeria. Regarding the direction from stocks to exchange rate, we report that volatility spillover effect is the strongest in South Africa, because Johannesburg stock exchange is the most developed and liquid market. As for the reverse direction, the spillover effect is recorded in longer time-horizons in the Egyptian and Moroccan cases, which indicates to flow-oriented model, while for South Africa, the effect is found in shorter time-horizons, which is in line with the portfolio-balance theory. In South Africa, investors should protect themselves against exchange rate risk in shorter time-horizons, in Morocco and Egypt in longer time-horizons, while in Nigeria, hedging against exchange rate is not needed. [ABSTRACT FROM AUTHOR]

The purpose of this study is to investigate whether margin downregulations helped enhance the functions of index futures markets following the stock market crash in China in 2015. Using high-frequency trading data, we estimate the changes in the price discovery and volatility spillover relationships between the CSI 300 index and its futures. We find that reducing the margin ratio strengthens the lead role of futures in the lead-lag relationship and results in more volatility transmission from futures markets to the stock market. Furthermore, this paper shows that the expiration-day effect negatively influences the two functions. [ABSTRACT FROM AUTHOR]

With the global integration development, the linkage between countries is strengthened in the dynamic spillover effects between BRIC and G7 from 2009 to 2020. We find that G7 is the exporter of risk, and BRIC is the receiver of the risk. We build the spillover model from the DAG-SVAR model. In the static spillover analysis, the net spillover of G7 is higher than that of BRIC. In the dynamic spillover analysis, the total systemic spillover is highly consistent with the world's risk events. We also consider the directional spillover between G7 and BRIC, and find the volatility spillover of G7 to other markets is higher than that of BRIC. Furthermore, we use the European Debt Crisis, the China-US Trade War, and the Covid-19 Pandemic to study the spillover network's dynamic evolution. We find that the global financial market's spillover network is enhanced, and the volatility net spillover increased rapidly after the corresponding events. Specifically, after the Wuhan lockdown, China's net spillover increased sharply to 264%, ranked first globally, and the net volatility spillover connectedness increased substantially after the Covid-19 Pandemic. [ABSTRACT FROM AUTHOR]

In this paper, we measure the asymmetric volatility spillover among six virtual financial asset (VFA) markets from January 1, 2014, to September 30, 2017, using the volatility spillover index based on a Markov regime-switching vector autoregressive (VAR) model and conduct a static and dynamic analysis under different regimes. The static results show that asymmetric effects of total, internal and net volatility spillover, on average, exist in all six VFA markets under different regimes. The dynamic results show that total, directional, and net spillover have significantly asymmetric effects. Thus, the government should monitor the specific VFA regimes and improve market regulation. [ABSTRACT FROM AUTHOR]

This article investigates the issues of volatility spillovers and risk contagion paths with capital flows across the foreign exchange, monetary, credit, and stock markets in a country. We derive the theoretical price linkage of financial markets based on traditional theories of the Gordon model and interest rate parity theory. Then, we set up a volatility spillover model of financial markets and show the cross-market volatility spillover effects by using China's historical data from January 1996 to December 2016. Regarding the asymmetric spillovers, we determine that they are related to cross-market capital flow routes. After empirical analysis on the unnatural capital flows' contribution to financial risk contagion, three cross-market risk transmission paths are identified based on the capital flows, which originate from the exchange rate risk, credit risk, and stock volatility risk, respectively. [ABSTRACT FROM AUTHOR]

This paper investigates the price dynamics between a selection of international staple food and cash crop futures prices. This price interaction is particularly relevant for developing countries that rely on cash crop export earnings to finance their staple food import requirements. We employ a multivariate Copula-DCC-GARCH model to characterize the cash crop and staple food price interaction over time and a rolling-sample volatility index to identify the direction of the volatility spillover for staple-cash commodity pairs. Results show that the intensity of interaction varies considerably over the sample time, but is, generally positive, and stronger during the period 2007–2012 associated with high commodity prices and financial market stress. [ABSTRACT FROM AUTHOR]

Concentrating on confidence interval, a bootstrapping method is developed for volatility spillover index proposed by Diebold and Yilmaz via a vector autoregressive (VAR) model. The method is based on residual based bootstrapping with normal pivot which is a winner of a Monte-Carlo comparison of several possibly competitive methods. The Monte-Carlo simulation demonstrates finite sample validity of the bootstrap confidence interval. The proposed method is illustrated by standard errors and confidence interval estimation for the volatility spillover indexes of various financial real data sets. [ABSTRACT FROM AUTHOR]

This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro and the South African rand following the Eurozone sovereign debt crisis. It employs two multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models, namely bivariate BEKK-GARCH (1,1) a nd DCC-GARCH(1,1). Based on two datasets, for the crisis and post-crisis periods, the study identifies significant uni-directional volatility spillovers from the euro to the rand during crisis and post-crisis periods. Further, increased volatility spillovers and time-varying correlations between currencies were evident during the Eurozone crisis. This suggests pure form of financial contagion between the two foreign exchange markets. As such, investors and policy makers in the stock and/or foreign exchange markets in South Africa should monitor euro volatility due to its contagious impacts on the rand and decoupling strategies should be formulated to insulate the rand from contagion. The contributions of the study are twofold. First, it informs the investors in the foreign exchange market on the extent to which shocks in the euro affect the rand. Second, it adds to the literature on pure form of contagion by testing whether there exists an asymmetric correlation between the rand and euro over tranquil periods as opposed to financial upheaval ones. [ABSTRACT FROM AUTHOR]

In recent years, researchers have increasingly studied the interaction between the crude oil market and economic policy uncertainty (EPU). To have a deeper knowledge, this article examines the spillover effects between them from a multiscale perspective with a wavelet-based BEKK-GARCH method. The results show that the spillover effects between the Brent crude oil market and EPU in the BRIC countries are time-varying across different wavelet scales in terms of direction and strength. The mean spillover relationship between oil prices and EPU is weak in the short term but gradually strengthened toward the long term. Moreover, there are strong volatility spillover effects between oil prices and EPU in Brazil and Russia in the short and medium term. [ABSTRACT FROM AUTHOR]

This paper examines the financial cointegration and spillover effect of the global financial crisis to emerging Asian financial markets (India, China, Pakistan, Malaysia, Russia and Korea). The analysis used daily stock returns, divided into three time periods: pre-, during and post-crisis from 1 July 2005 to 30 June 2015. We applied the Johansen and Juselius cointegration test, the vector error correction model (V.E.C.M.) and the G.A.R.C.H.-B.E.K.K. model for an examination of integration and conditional volatility. We find long-term cointegration between the U.S. market and emerging stock markets, and the level of cointegration increased after the crisis period. The V.E.C.M. and impulse response function reveal that a shock in the U.S. financial market has a short-term impact on the returns of emerging financial markets. Past shocks and volatility have more effect on the selected stock markets during all time periods. The Korea Composite Stock Price Index and the Bombay stock exchange (B.S.E.) are the only stock markets that have cross-market news and volatility spillover effects during the crisis period. After the crisis period, news effects are positive on the B.S.E. and the Russian Trading System and have a negative effecton the Kuala Lumpur Stock Exchange and the Shanghai Stock Exchange. [ABSTRACT FROM AUTHOR]

The use of price limits by a stock exchange means that the distribution of returns is truncated. By considering a GARCH model in conjunction with a truncated distribution for the residuals, this study investigates whether price limits have an effect on price behaviour and volatility of Chinese A-shares. The analysis has been applied to A-shares traded on the Shanghai Stock Exchange (SSE) and the Shenzhen Stock Exchange (SZSE) during the period from 2004 to 2018. The results suggest the Truncated-GARCH model outperforms a conventional model and offers substantially different insights into the effect of price limits. The delayed price discovery hypothesis is not rejected for either exchange after upper price limit hits. Limited evidence supports the volatility spillover hypothesis, as just over 5% of A-shares experience an increase of volatility after upper price limit hits on both exchanges. No evidence of reduction of volatility after price limit hits is shown in the research. [ABSTRACT FROM AUTHOR]

The United States, Brazil, Argentina and South Africa are the largest exporters of maize. This paper examines volatility transmission in maize futures listed on SAFEX, CBOT, MATBA (Argentina) and BMF (Brazil). Four multivariate GARCH models are employed to investigate the dynamics and cross-dynamics of volatility using daily data over the period 24 November 2008 to 27 December 2018. The results confirm the existence of significant spillover effects of volatility between futures markets of the leading exporters of maize. The results also highlight that the level and magnitude of interdependence between these markets have changed over time. The findings have important implications for risk management and regulation in agricultural futures markets. [ABSTRACT FROM AUTHOR]

Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response analysis and in the dynamic and directional measurement of volatility spillovers are encountered depending on whether the intraday periodic component is considered. Thus, the convenience of removing intraday seasonality seems to be critical to reduce the risk of spurious causality when employing high-frequency data in volatility transmission. Moreover, the impact of market microstructure noise seems negligible when using an optimal frequency of observations. [ABSTRACT FROM AUTHOR]

This paper analyses the volatility spillover between foreign exchange rate and tourism firm stock returns for the case of China 4 July 2011 to 27 September 2018 period which covers the post-transition of Chinese managed floating exchange rate regime. Utilizing the BEKK-GARCH model, the empirical results indicate that there is bidirectional long-term spillover volatility between the variables under investigation. Our findings provide a new insight to portfolio managers about how the volatility is transferred between foreign exchange rate and tourism firm stock returns, and to which extent they are correlated over time. These elements are essential for portfolio diversification. [ABSTRACT FROM AUTHOR]

This paper examined links between U.S. soybean prices and the Dow Jones U.S. Water Index (DJUSWU). We particularly studied the impact of El Niño and La Niña events on price risk spillovers. Results showed that La Niña significantly increases the linkages between soybean and water equity markets. Based on this, we identified a new soybean hedge strategy that would be possible if a futures contract for the DJUSWU existed. This new strategy improves on the effectiveness of both a conventional naïve soybean market hedge, and a traditional time-varying hedge. The findings can be used to assist soybean agents in managing increased market risks associated with extreme weather events. [ABSTRACT FROM AUTHOR]

This study evaluates the impacts of energy markets on emerging market mutual funds (EMMFs). In particular, we investigate the volatility transmission between these funds and the oil and natural gas prices. The findings suggest significant risk spillover from the energy markets to EMMFs. Furthermore, we find a large number of EMMFs’ risk transmitting to oil prices and almost all of the EMMFs’ risk transmitting to natural gas prices. By dividing the sample into two (before and after 2008), we find the EMMFs’ influence on the oil market decreasing after this turbulent period. Our results have important implications for mutual fund managers and investors. [ABSTRACT FROM AUTHOR]

While there have been a number of studies investigating the market integration between farmed and wild seafood, the relationship in terms of volatility has received little attention. However, with the high degree of market integration for similar species, one would also expect substantial volatility spillover. In this paper, we investigate the price volatility relationship between seafood from aquaculture and fisheries. Using trade data from 1990 to 2016, we assess both size and direction of volatility spillover over time, allowing us to evaluate the relative importance of both production techniques on seafood price volatility. Our results show a time-varying relationship as the level and direction of volatility spillover changes. Still, our results indicate that wild markets typically transmit price uncertainty to aquaculture markets, thus increasing the volatility in aquaculture markets. In addition, our results indicate that it requires a substantial (negative) supply shock to aquaculture production to shift volatility spillover from aquaculture to wild. These results add to previous studies confirming that prices of aquaculture products are less volatile than those of wild products and, in general, reduce volatility in seafood markets. [ABSTRACT FROM AUTHOR]

The information flow in the volatility and the skewness of returns are two factors closely influences the hedging risks for cross-border transactions. This article adopts a VAR-BEKK-MGARCH model with multivariate skew-t error terms to investigate the mean and volatility spillovers, while accounting for the potential skewness. The model is applied to real returns of corn, wheat, and soybeans futures in United States and China. The empirical results indicate the major role of United States in information transmission, and the increasing volatility spillovers of China to United States in highly marketized commodities and after trading structure changes. The analysis of skewness provides evidences for market inefficiency and implication on the investment decision and trading strategies. [ABSTRACT FROM AUTHOR]

Several Eurasian markets are considered as potential global financial centers. The main objective of this article is to evaluate the two strong candidates, Russia and Turkey, based on short- and long-run diversification benefits they provide to global investors along with big four global finance centers (US, UK, Hong Kong, Singapore) in the world. To that respect, we investigate both price spillover and volatility spillover effects among global finance centers and the two strong Eurasian candidates. Our results suggest that Istanbul Stock Exchange (ISE) has more diversification benefits and is more resilient to risk transfers from other markets compared to Moskow Stock Exchange (MSE). [ABSTRACT FROM PUBLISHER]

We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries’ gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors’ perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited. [ABSTRACT FROM AUTHOR]

This article examines world rice price transmission and volatility spillovers across six major Asian rice markets over the period 2005-13. In addition to the conventional GARCH models, we use a panel GARCH framework to estimate the spillover effects along with the consideration of heterogeneity and interdependence among countries. Empirical results suggest that changes in the world rice price affected not only the price levels of domestic rice markets but also their conditional variances. Moreover, interdependence across rice markets contributed to a strong spillover of a price shock in one country to another within the region. [ABSTRACT FROM PUBLISHER]

This study examines whether a volatility/risk transmission exists between the Dow Jones Islamic stock and three conventional stock markets for the United States, Europe and Asia during the pre- and the in- and post-2008 crisis periods. It also explores the volatility spillover dynamics between those markets and US Monetary policy, oil prices, global financial risk and uncertainty factors. The recently developed Hafner and Herwartz (2006)’s causality-in-variance test provides evidence of risk transfers between these seemingly different equity markets, indicating a contagion between them during the full sample and the subperiods. The volatility structure of these markets is dominated by short-run volatility in the first period and by high long-run volatility in the second period. The volatility impulse response analysis indicates a similar volatility transmission pattern although it is characterized by a more volatile and short-lived structure in the second period. It also appears that the Islamic equity market responds to shocks from the risk factors and not from the oil price and the US economic policy uncertainty index during both periods. [ABSTRACT FROM PUBLISHER]

This article studies volatility spillover between the US and the three largest European stock markets (Frankfurt, London and Paris) around the time of the recent Subprime crisis. In order to investigate the impact of the latter, we break our sample down into two sub-periods: a pre-crisis period and a post-crisis period, using a structural break test that has the advantage of endogenously testing for further breaks in the data. Unlike previous studies that have frequently investigated this issue using low frequency data, our article makes use of intraday data. Accordingly, using Threshold generalized autoregressive conditional heteroscedasticity (GARCH) model estimations, we find weak evidence of volatility transmission between the two regions before the Subprime crisis. However, during the post-crisis period, we record returns and volatility spillover from US to European markets and vice versa at different times of the trading day, indicating that the two regions became more dependent during the recent Subprime crisis, a finding that supports the contagion hypothesis between the US and European stock markets. [ABSTRACT FROM AUTHOR]

In this study, we examine return spillover, volatility transmission, and cojump behavior between the U.S. and Korean stock markets. In particular, we focus on cojump behavior between the two markets in order to explain the transmission of unexpected shocks. We find that the U.S. stock market causes return spillover effects in the Korean stock market, and there is significant volatility transmission between the two markets. Importantly, we find a stronger association in size, as compared with intensity, of cojumps between the U.S. and Korean stock markets, particularly during the recent financial crisis. [ABSTRACT FROM PUBLISHER]

Given the exponential growth in exchange-traded fund (ETF) trading, ETFs have become a significant factor in the volatility generating process of their largest component stocks. A simple model of trading is developed for securities that are included in ETFs, and empirical support is provided for the model hypotheses. Volatility spillovers from ETFs to their largest component stocks are economically significant. These spillovers are increasing in liquidity, the proportion of each stock held by the fund, deviations from net asset value, ETF flow of funds and ETF market capitalization. The results are consistent with a positive volume–volatility relation and trading-based explanations of volatility, and are generally stronger for smaller stocks. [ABSTRACT FROM PUBLISHER]

This article explores the structure of the volatility transmission mechanism between stock and currency markets for Eurozone economies with systemic fiscal problems such as Greece, Italy, Ireland, Portugal and Spain. We focus on the structural properties of volatility diffusion, in times of market instability, illiquidity, fiscal crisis as well as political uneasiness. Our evidence indicates the presence of bidirectional, asymmetric volatility spillovers between currency and stock markets. Our empirical findings bear significant implications for the allocation of money and capital in diversified investment choices, in a global marketplace of erratic restructurings and systemic instability. [ABSTRACT FROM AUTHOR]

We find evidence of significant volatility co-movements and/or spillover from different financial markets to the forex market in India. Among a large number of variables examined, volatility spillovers from domestic stock, government securities, overnight index swap, Ted spread and international crude oil markets to the foreign exchange market are found to be significant. There is evidence of asymmetric reactions in the forex market volatility. Comparisons between pre-crisis and post-crisis volatility indicate that the reform measures and changes in financial markets microstructure during the crisis period had significant impact on volatility spillover. During the post-crisis period, the lagged volatility component that represents persistent or fundamental changes had significant spillover effect on forex volatility, rather than the temporary shocks component. There is evidence of a decline in the asymmetric response in the forex volatility during the post-crisis period in India. [ABSTRACT FROM AUTHOR]

This article attempts to shed light on the impact of oil prices, investor sentiment, and conventional index on 11 Islamic indices, particularly during the subprime financial crisis and the oil crisis. Empirical evidence suggests that the Malaysian and Indonesian Islamic indices are very much affected by the oil volatility. Estimation results of the BEKK-GARCH model reveal that the pessimistic sentiment during the subprime crisis is transmitted to Islamic indices, suggesting the herding contagion. The authors' finding indicates that investors can use VIX investor sentiment as an indicator to predict Islamic returns volatility. In addition, the authors find that the oil shock has spilled into Islamic indices. The time-varying correlation indicates strong evidence of the contagion effect of crude oil and investor sentiment measure to Islamic indices during the oil shock and U.S. financial crisis period of 2008–2009. [ABSTRACT FROM AUTHOR]

There is an urgent need to understand the spillover and cojump effects between the U.S. and Chinese stock markets. The paper finds that since July 2005, the U.S. stock market has caused short-run spillover effects on returns on the Chinese stock market. More specifically, price changes in the United States can be used to predict both closing-to-opening and closing-to-closing returns on the Chinese stock market on the next day. However, there is no significant volatility spillover between the two markets. Both markets have shown stronger cojump behavior since the subprime crisis. The return relationships between the two stock markets are robust. [ABSTRACT FROM AUTHOR]