GLOBAL RISK SPILLOVERS TO INTERNATIONAL EQUITY MARKETS: AN APPLICATION TO NON-PARAMETRIC CAUSALITY IN QUANTILES
DOI:
https://doi.org/10.37435/nbr.v6i1.75Keywords:
Global risk spillover, non-parametric causality in quantiles, Granger causality in quantiles, equity marketsAbstract
Purpose: This study examines the global risk spillover to International Equity Markets e.g., gold volatility index (GVX), crude oil volatility index (OVX), Volatility Index (VIX), Treasury Bills (TVX), Volatility of volatility index (VVIX), and Èconomic Ƥolicy Ưncertainty index (EPU).
Design/Methodology: Following non-parametric causality in quantiles method we utilize weekly data of Canada, Japan, the UK, and the USA from June 12, 2008, till September 29, 2018. The Granger causality in quantiles detects and quantifies both linear and non-linear causal effects between random variables.
Findings: Results of the study shows strong correlations between volatility of volatility index and stock markets. whereas weak correlation exist between Èconomic Ƥolicy Ưncertainity and stock markets. Increase in uncertainty indices cause a decline in equity stock markets. Uncertainty indices does not cause volatility in stock returns of TSX, TSE, LSE and NYSE. VVIX granger cause volatility of Japanese stock market returns. There is no evidence of risk spillover from uncertainty to international equity markets. uncertainty do not cause volatility in stock market returns of Canada, Japan, UK and USA.
Originality: The results provide important insights for asset allocation, investment portfolio, and risk management to minimize the effect of volatility spillovers. As financial spillover amplifies in the absence of monetary stabilization, both conventional and unconventional monetary easing can increase spillover. Thus, the study would also benefit the policymakers in devising monetary policies which mitigate the influence of risk spillovers to international equity markets. The findings of the study have important implications for market regulators.
References
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