Matches in SemOpenAlex for { <https://semopenalex.org/work/W3124405310> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W3124405310 abstract "NOTE: The following is a description of the paper and is not the actual abstract. This article examines the nature of volatility linkages in an economy with multiple securities markets. The analysis is based on the relation between volatility and information flow. To formalize this relation, we develop a simple model of speculative trading where the traders take positions in one or more futures contracts based on their current expectations and their risk tolerances. As new information is released, they update their expectations, revise their demands, and trade accordingly. Under the model, information generates market linkages in two ways. First, information can simultaneously affect expectations about the risk and return characteristics of multiple contracts (i.e., the information is common across markets). Second, information can directly affect expectations in only one market but impact other markets through hedging demand (i.e., there is an information spillover between markets). In frictionless markets, the model predicts that hedging causes complete information spillover, leading to perfectly correlated volatility changes across markets. In practice, however, institutional factors and market frictions will limit the impact of cross-market hedging and preclude complete spillover. As a result, the model predicts strong volatility linkages in markets where the hedging benefits are large and the hedging costs are small. We use a stochastic volatility representation of the model to estimate the volatility linkages for three futures markets where we expect both common information and information spillover to be important: the stock, bond, and money markets. The results are generally supportive of our model. The time-series properties of returns are similar to those predicted by the model and the volatility linkages between markets are strong. In addition, subperiod analysis suggests the strength of the linkages increased substantially following the 1987 stock market crash." @default.
- W3124405310 created "2021-02-01" @default.
- W3124405310 creator A5016206776 @default.
- W3124405310 creator A5027112253 @default.
- W3124405310 creator A5054164232 @default.
- W3124405310 date "1998-03-05" @default.
- W3124405310 modified "2023-09-23" @default.
- W3124405310 title "Information and Volatility Linkages in the Stock, Bond, and Money Markets" @default.
- W3124405310 hasPublicationYear "1998" @default.
- W3124405310 type Work @default.
- W3124405310 sameAs 3124405310 @default.
- W3124405310 citedByCount "35" @default.
- W3124405310 countsByYear W31244053102012 @default.
- W3124405310 countsByYear W31244053102013 @default.
- W3124405310 countsByYear W31244053102014 @default.
- W3124405310 countsByYear W31244053102015 @default.
- W3124405310 countsByYear W31244053102016 @default.
- W3124405310 countsByYear W31244053102017 @default.
- W3124405310 crossrefType "posted-content" @default.
- W3124405310 hasAuthorship W3124405310A5016206776 @default.
- W3124405310 hasAuthorship W3124405310A5027112253 @default.
- W3124405310 hasAuthorship W3124405310A5054164232 @default.
- W3124405310 hasConcept C106159729 @default.
- W3124405310 hasConcept C106306483 @default.
- W3124405310 hasConcept C127413603 @default.
- W3124405310 hasConcept C13290067 @default.
- W3124405310 hasConcept C162324750 @default.
- W3124405310 hasConcept C175444787 @default.
- W3124405310 hasConcept C192620184 @default.
- W3124405310 hasConcept C204036174 @default.
- W3124405310 hasConcept C24189920 @default.
- W3124405310 hasConcept C55527203 @default.
- W3124405310 hasConcept C556758197 @default.
- W3124405310 hasConcept C78519656 @default.
- W3124405310 hasConcept C91602232 @default.
- W3124405310 hasConceptScore W3124405310C106159729 @default.
- W3124405310 hasConceptScore W3124405310C106306483 @default.
- W3124405310 hasConceptScore W3124405310C127413603 @default.
- W3124405310 hasConceptScore W3124405310C13290067 @default.
- W3124405310 hasConceptScore W3124405310C162324750 @default.
- W3124405310 hasConceptScore W3124405310C175444787 @default.
- W3124405310 hasConceptScore W3124405310C192620184 @default.
- W3124405310 hasConceptScore W3124405310C204036174 @default.
- W3124405310 hasConceptScore W3124405310C24189920 @default.
- W3124405310 hasConceptScore W3124405310C55527203 @default.
- W3124405310 hasConceptScore W3124405310C556758197 @default.
- W3124405310 hasConceptScore W3124405310C78519656 @default.
- W3124405310 hasConceptScore W3124405310C91602232 @default.
- W3124405310 hasOpenAccess W3124405310 @default.
- W3124405310 hasRelatedWork W1576326745 @default.
- W3124405310 hasRelatedWork W1584914921 @default.
- W3124405310 hasRelatedWork W1738242548 @default.
- W3124405310 hasRelatedWork W2080566469 @default.
- W3124405310 hasRelatedWork W2114655892 @default.
- W3124405310 hasRelatedWork W2115899065 @default.
- W3124405310 hasRelatedWork W2123518587 @default.
- W3124405310 hasRelatedWork W2132874737 @default.
- W3124405310 hasRelatedWork W2140268443 @default.
- W3124405310 hasRelatedWork W2143139512 @default.
- W3124405310 hasRelatedWork W2149908462 @default.
- W3124405310 hasRelatedWork W2161963544 @default.
- W3124405310 hasRelatedWork W2166069423 @default.
- W3124405310 hasRelatedWork W2550830456 @default.
- W3124405310 hasRelatedWork W2601561501 @default.
- W3124405310 hasRelatedWork W3122822610 @default.
- W3124405310 hasRelatedWork W3123763210 @default.
- W3124405310 hasRelatedWork W3125853035 @default.
- W3124405310 hasRelatedWork W3172640453 @default.
- W3124405310 hasRelatedWork W37062021 @default.
- W3124405310 isParatext "false" @default.
- W3124405310 isRetracted "false" @default.
- W3124405310 magId "3124405310" @default.
- W3124405310 workType "article" @default.