Title: Detecting signed spillovers in Asia
Authors: Moses Kangogo - University of Tasmania (Australia) [presenting]
Vladimir Volkov - University of Tasmania (Australia)
Abstract: The dynamics of the signed-spillover across financial markets is analyzed by using historical decomposition. By incorporating Markov switching-framework into VAR model, we investigate the dynamics of the signed-spillover during period of turbulent and period of tranquillity. Additionally, this approach would detect the source and direction of the spillover as well as identify the sign effects of the spillover. By detecting the dynamics of the signed-spillover in different regimes, this approach would out-perform the classical single-regime framework. We apply the methodology into high frequency RV data for the sample period 1999-2017. Empirical finding shows that the spillover are intense during period of turbulent and moderate during period of tranquillity.