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RSFAS Seminar | Assoc Prof Jianxin Wang

RSFAS Seminar | Assoc Prof Jianxin Wang

Institution: The University of Technology Sydney 

Date and Time: 21 August 2020, from 10:00 AEST

Title: A New Channel for Global Volatility Propagation

Abstract: This study compares two channels for global impact on local volatility: the direct channel in which global return and volatility affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect local volatility by changing its persistence over time. Based on 21 equity indices in 17 developed economies, we find that (1) global variables are the main determinants of local volatility persistence; (2) the volatility persistence channel contributes far more to local volatility than the direct channel; and (3) global return contributes far more to local volatility than global volatility. Our study suggests new determinants of volatility persistence, and offers a new explanation for the cross-country commonality in volatility dynamics. 

Updated:   31 July 2020 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team