A new channel for global volatility propagation

Chen, S; Wang, J

A new channel for global volatility propagation

Chen, S Wang, J

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Publisher:: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Publication Type:: Journal Article
Citation:: European Journal of Finance, 2024, 30, (5), pp. 481-502
Issue Date:: 2024

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Field	Value	Language
dc.contributor.author	Chen, S
dc.contributor.author	Wang, J
dc.date.accessioned	2024-03-01T01:18:09Z
dc.date.available	2024-03-01T01:18:09Z
dc.date.issued	2024
dc.identifier.citation	European Journal of Finance, 2024, 30, (5), pp. 481-502
dc.identifier.issn	1351-847X
dc.identifier.issn	1466-4364
dc.identifier.uri	http://hdl.handle.net/10453/175998
dc.description.abstract	We compare two channels for global impact on local volatility: the direct channel in which global variables affect the expected value of local volatility, and a new channel in which they affect local volatility persistence. Using 21 equity indices in 17 developed economies, we show that (1) global variables are the main determinants of local volatility persistence; (2) the volatility-persistence channel contributes far more to local volatility variations than the direct channel; and (3) global average return contributes far more to local volatility variations than global average volatility. The global impact on local volatility persistence help explain the commonality in global volatility dynamics.
dc.language	English
dc.publisher	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
dc.relation.ispartof	European Journal of Finance
dc.relation.isbasedon	10.1080/1351847X.2023.2206040
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.subject.classification	3502 Banking, finance and investment
dc.subject.classification	3801 Applied economics
dc.title	A new channel for global volatility propagation
dc.type	Journal Article
utslib.citation.volume	30
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	University of Technology Sydney
pubs.organisational-group	University of Technology Sydney/Faculty of Business
pubs.organisational-group	University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	true
dc.date.updated	2024-03-01T01:18:07Z
pubs.issue	5
pubs.publication-status	Published
pubs.volume	30
utslib.citation.issue	5

Abstract:

We compare two channels for global impact on local volatility: the direct channel in which global variables affect the expected value of local volatility, and a new channel in which they affect local volatility persistence. Using 21 equity indices in 17 developed economies, we show that (1) global variables are the main determinants of local volatility persistence; (2) the volatility-persistence channel contributes far more to local volatility variations than the direct channel; and (3) global average return contributes far more to local volatility variations than global average volatility. The global impact on local volatility persistence help explain the commonality in global volatility dynamics.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/175998