Applications of high-order realized moments in financial market linkages
Başlık çevirisi mevcut değil.
- Tez No: 771861
- Danışmanlar: Belirtilmemiş.
- Tez Türü: Yüksek Lisans
- Konular: Bankacılık, Ekonomi, Maliye, Banking, Economics, Finance
- Anahtar Kelimeler: High frequency data, VAR, spillover effect, high-order realized moments, Granger causality, stock market
- Yıl: 2017
- Dil: İngilizce
- Üniversite: University of Southampton
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 57
Özet
Understanding the financial market linkages attracts a significant attention from both investors and academics. For this reason, asset market relations have been usually examined in terms of return and volatility level. However, dynamic relations via skewness and kurtosis level draw less attention. Therefore, this dissertation investigates stock and foreign exchange market linkages among developed countries via realized volatility, skewness and kurtosis. High order realized moments of major stock indices and foreign exchange rates are calculated by employing 5-minute intradaily data. The first section examines the joint dynamics of stock-FX market linkages within the same economy via higher moments. In the second section, the associations of high order measures between the S&P 500 index and the other stock indices in developed countries are investigated. Within the VAR framework, Impulse Response Analysis and Granger Causality tests are applied to explain the dynamic relations in both sections. Empirical results support the evidence of unidirectional volatility spillovers from stock markets to exchange rates. Similarly, positive unidirectional volatility spillovers from the US stock markets to other developed economies. Moreover, positive skewness spillovers run from the USA to the other major stock markets whereas there are unidirectional Granger causalities from all of the selected stock indices to S&P 500. Lastly, empirical findings exhibit positive kurtosis spillovers between stock-FX markets and from S&P 500 to other major stock indices. Overall, skewness and kurtosis are able to explain financial market linkages similarly to realized volatility.
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