| Autor: |
Nicolás Magner Pulgar, Esteban José Antonio Terán Sánchez, Vicente Alfonso Guzmán Muñoz |
| Jazyk: |
English<br />Spanish; Castilian |
| Rok vydání: |
2022 |
| Předmět: |
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| Zdroj: |
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, Vol 17, Iss 3, Pp e747-e747 (2022) |
| Druh dokumentu: |
article |
| ISSN: |
2448-6795 |
| DOI: |
10.21919/remef.v17i3.747 |
| Popis: |
The purpose of this paper is to study the effect of stock market synchronization on the volatility of its component assets. For this objective, we calculate the stock market's synchronization using the Minimum Spanning Tree Length (MSTL) network analysis method. Then, we implement forecasting tests in and out the sample to assess the forecasting power on the stock market's synchronization to predict the individual stock realized volatility. Additionally, we test a VAR and a forecast error variance decomposition analysis to study Granger causality's presence on volatility. Our results show that synchronization within a market exists and changes over time. Our main results show that an increase in synchronization causes an increase in financial assets' realized volatility in the following month. Our results made it possible to study financial markets' synchronization and take a systemic risk approach to improve investment management. Our main idea was that the stock markets' synchronization positively correlates with financial assets' volatility. The greater the synchronization, the greater the volatility in the following period. This study offers a new approach to study the stock market volatility. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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