The Library
Volatility spillovers and the effect of news announcements
Tools
Tools
Tools
Jiang, G. J., Konstantinidi, E. and Skiadopoulos, George (2012) Volatility spillovers and the effect of news announcements. Journal of Banking & Finance, Vol.36 (No.8). pp. 2260-2273. doi:10.1016/j.jbankfin.2012.04.006
Research output not available from this repository, contact author.
Official URL: http://www.elsevier.com/locate/jbf
Abstract
We examine the effect of US and European news announcements on the spillover of volatility across US and European stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find significant spillovers of implied volatility between US and European markets as well as within European markets. We observe a stark contrast in the effect of scheduled versus unscheduled news releases. Scheduled (unscheduled) news releases resolve (create) information uncertainty, leading to a decrease (increase) in implied volatility. Nevertheless, news announcements do not fully explain the volatility spillovers, although they do affect the magnitude of volatility spillovers. Our results are robust to extreme market events such as the recent financial crisis and provide evidence of volatility contagion across markets.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Journal of Banking & Finance | ||||
| Publisher: | Elsevier Science BV | ||||
| ISSN: | 0378-4266 | ||||
| Official Date: | August 2012 | ||||
| Dates: |
|
||||
| Volume: | Vol.36 | ||||
| Number: | No.8 | ||||
| Page Range: | pp. 2260-2273 | ||||
| DOI: | 10.1016/j.jbankfin.2012.04.006 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
