The grey theory is mainly uncertainty directed against the systematic model and fit for incomplete information. This paper adopts the grey prediction methods, GM(1,1) and GM(1,1|optimal α), to investigate the return and volatility of major index futures among American and Eurasian markets. The grey relational theory and GM(1,N) model are further used to observe the volatility spillover effect a...

Recent evidence suggests that ignoring structural breaks in volatility financial asset returns can result overestimation of spillover among markets. This paper examines major US equity sectors (i.e. Financial, Technology, Energy, Health, Consumer and Industrial) with bivariate GARCH models utilizing daily data from April 2006 to March 2021 after adjusting for breaks. I find significantly less b...

This study examines the joint evolution of risk-neutral stock index and bond yield volatilities by using the Chicago Board Option Exchange S&P500 volatility index (VIX) and the Bank of America Merrill Lynch Treasury Option Volatility Estimate Index (MOVE). I use bivariate regime-switching models to investigate the alternation of ‘‘high-risk’’ and ‘‘low-risk’’ markets, where the high-risk regime...

This study assesses the spillover effect of listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, Philippines, and Hong Kong. The impact market integration will create a to countries’ economic performances, in particular market. As macroeconomic factors have high correlation with performance security market...

Sufficient theory and evidence about comovement between stocks and bonds are documented in the past to suggest that volatility transmission exists, although a consensus to causation and prediction has yet to be reached. The portfolio theory accords both assets with complimentary characteristics, thus being a premise to our conjectures about cross-market linkages. As such, we investigate the cro...

This study attempts to investigate the transmission of market-wide volatility between the equity markets and bond markets of Japan and the U.S. To measure the volatility transmission, the BEKK method, a decomposition approach of the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. The time series analysis provides evidence to the...

The aim of the study is to analyze shock and volatility spillover between BIST Finance, Industry, Technology, Tourism, Transportation, Food, Retail-Trade sectors. In this direction, daily data obtained January 5, 2010, December 4, 2020, were analyzed using a new method named TVP-VAR Diebold Yılmaz Spillover Index developed by Antonakakis et al. (2019). Our results indicate that industrial finan...