Asymmetric Networks Of Global Volatility Spillovers

Download or read book Asymmetric Networks of Global Volatility Spillovers written by Zihui Yang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We document asymmetric networks of implied volatility spillovers across global stock and commodity markets as well as the US Treasury market. There are significant asymmetries in the roles of US stock and bond markets as volatility suppliers to other countries and markets. Shocks from the US generate intensifying volatility spillovers across countries and asset classes. Our findings offer new evidence for the recent theory that shocks from an individual market or sector can lead to sizable aggregate fluctuations if network linkages are sufficiently asymmetric. We also provide a new tool for event studies in a network setting.