Thesis or dissertation
Date of this Version
This paper investigates the strength and directional effect of volatility transmissions across six implied volatility indexes. Emphasizing Asian equity markets, through implied volatilities, on a more recent time horizon are among the main contributions of this paper to the existing literature, and findings offer potential insights to traders and financial policymakers. Moreover, this paper reassesses discrepancies in existing literature, including whether the US induces unidirectional volatility spillovers and whether proximity can help explain volatility linkages. In addition to exploratory data analysis, correlations and multivariate regressions are used to assess the strength of volatility interdependences; the Granger Causality test is implemented to analyze directional effects. This paper finds relatively strong volatility transmissions between East Asian markets and weaker regional association with India. Moreover, results suggest the US to be a unidirectional driver, Japan a regional transmitter, and Hong Kong a receiver of volatility, among other findings. These interdependencies are shown to become more pronounced over time and are not entirely explained by the economic proximity of the markets studied.
implied volatility, spillover, transmission, linkages, interdependences, asia, volatility, equity markets, hedging, options
Bernier, K. (2023). "Assessing Implied Volatility Transmissions Across Asian Markets," Joseph Wharton Scholars. Available at https://repository.upenn.edu/joseph_wharton_scholars/139
Date Posted: 24 May 2023