Volatility spillover among index sector of international market

Journal Article

, Imen Kouki, Nizar Harrathi and Mahfuzul Haque . 2011

• نوع عمل المنشور: paper
• رابط المنشور على الويب: http://www.journalofmoneyinvestmentandbanking.com/issues/JMIB_22.html
• المجلة \ الصحيفة: Journal of Money, Investment and Banking
• رقم الإصدار السنوي: 22
• الصفحات: من 32 إلى 45

مستخلص المنشور

This study investigates volatility spillover for 5 sectors, namely; banking, financial service, industrial, real estate and oil between international stock markets focusing on two zones. The first zone includes developed market excluding North America, emerging markets and North America. The second zone includes Japan, Australia, developed European markets and North America. The volatility spillover is examined estimating a VAR-BEKK model. We also examine the constant and dynamic of conditional correlation in different sectors. The main result supports the hypotheses of constant conditional correlation. The dynamic conditional correlation (DCC) provides evidence of cross border relationship within sectors. We do find evidence of integration of some sectors through the volatility. Investor who forms his/her portfolios by diversification process may find it of interest- beneficial for forming an accurate asset pricing models.