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Browsing by Person "Maderitsch, Robert"

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    State-dependent dynamics and interdependence of global financial markets
    (2015) Maderitsch, Robert; Jung, Robert
    This thesis investigates information transmission across international financial markets in four different studies. The common focus of all analyses is a long-term investigation of cross-market information transmission. Special consideration is given to the impact of the financial crisis of 2007 as well as the aspect of potential state-dependence in cross-market linkages. The following points provide a summary of the studies’ key questions: 1. Is there evidence for time- and state-dependence of return spillovers between stock markets in Hong Kong, Europe and the US? What are the implications for informational efficiency? 2. Are there structural breaks in volatility spillovers between the markets considered? If so – are these effects consistent with the notion of contagion as a strong and sudden synchronization of chronologically succeeding volatilities? 3. Do quantile regressions provide new insights into return spillovers from the US to stock markets in Asia? Which conclusions can be drawn about Asian traders’ information processing at market opening? 4. Which new insights can be obtained from measuring transatlantic volatility interdependence based on synchronous 24-hour realized volatilities? How to estimate 24 hour realized volatilities despite intermittent high-frequency data and non-synchronous trading hours across stock markets in Europe and the US? Answers to these questions are of direct relevance for international policy makers and investors. The goal of maintaining financial stability has recently gained in importance in various institutions all over the world. A solid understanding of financial market linkages is not only important in the context of international asset allocation and risk management. It is also crucial with a view to improving the current financial architecture and to make the international financial system more resilient towards crises in the future.