Asymmetric Networks of Global Volatility Spillovers

Posted: 14 Jun 2016

See all articles by Zihui Yang

Zihui Yang

Sun Yat Sen University - Lingnan College

Yinggang Zhou

Xiamen University - Department of Finance

Date Written: 2015

Abstract

We document asymmetric networks of implied volatility spillovers across global stock and commodity markets as well as the US Treasury market. There are significant asymmetries in the roles of US stock and bond markets as volatility suppliers to other countries and markets. Shocks from the US generate intensifying volatility spillovers across countries and asset classes. Our findings offer new evidence for the recent theory that shocks from an individual market or sector can lead to sizable aggregate fluctuations if network linkages are sufficiently asymmetric. We also provide a new tool for event studies in a network setting.

Keywords: Network; Volatility Spillover; Asymmetric linkage; Systemic risk

JEL Classification: C58, G15, G32

Suggested Citation

Yang, Zihui and Zhou, Yinggang, Asymmetric Networks of Global Volatility Spillovers (2015). First Annual Volatility Institute at NYU Shanghai (VINS) Conference - 2015. Available at SSRN: https://ssrn.com/abstract=2795674

Zihui Yang (Contact Author)

Sun Yat Sen University - Lingnan College ( email )

135 Xin Gang Xi Road
Guangzhou, Guangdong Province
China

Yinggang Zhou

Xiamen University - Department of Finance ( email )

Xiamen, Fujian 361005
China

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