Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach
Joint Authors
Chai, Shanglei
Zhang, Zhen
Du, Mo
Jiang, Lei
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-18, 18 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-12-11
Country of Publication
Egypt
No. of Pages
18
Main Subjects
Abstract EN
Financial internationalization leads to similar fluctuations and spillover effects in financial markets around the world, resulting in cross-border financial risks.
This study examines comovements across G20 international stock markets while considering the volatility similarity and spillover effects.
We provide a new approach using an ICA- (independent component analysis-) based ARMA-APARCH-M model to shed light on whether there are spillover effects among G20 stock markets with similar dynamics.
Specifically, we first identify which G20 stock markets have similar volatility features using a fuzzy C-means time series clustering method and then investigate the dominant source of volatility spillovers using the ICA-based ARMA-APARCH-M model.
The evidence has shown that the ICA method can more accurately capture market comovements with nonnormal distributions of the financial time series data by transforming the multivariate time series into statistically independent components (ICs).
Our findings indicate that the G20 stock markets are clustered into three categories according to volatility similarity.
There are spillover effects in stock market comovements of each group and the dominant source can be identified.
This study has important implications for investors in international financial markets and for policymakers in G20 countries.
American Psychological Association (APA)
Chai, Shanglei& Zhang, Zhen& Du, Mo& Jiang, Lei. 2020. Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach. Complexity،Vol. 2020, no. 2020, pp.1-18.
https://search.emarefa.net/detail/BIM-1145059
Modern Language Association (MLA)
Chai, Shanglei…[et al.]. Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach. Complexity No. 2020 (2020), pp.1-18.
https://search.emarefa.net/detail/BIM-1145059
American Medical Association (AMA)
Chai, Shanglei& Zhang, Zhen& Du, Mo& Jiang, Lei. Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach. Complexity. 2020. Vol. 2020, no. 2020, pp.1-18.
https://search.emarefa.net/detail/BIM-1145059
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1145059