External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the Nikkei Stock Average (Nikkei), the Tokyo Stock Price Index (TOPIX) and the TOPIX sectoral indices for the period of 10 February 2016 to 24 March 2017. We employed the exponential gene...

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Autor principal:	Mirzosaid Sultonov
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	volatility spillover exchange rate stock market Japan Risk in industry. Risk management HD61 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/756d759278ab4bc5b3ec5094c0fecc01
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spelling	oai:doaj.org-article:756d759278ab4bc5b3ec5094c0fecc012021-11-25T18:08:48ZExternal Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices10.3390/jrfm141105601911-80741911-8066https://doaj.org/article/756d759278ab4bc5b3ec5094c0fecc012021-11-01T00:00:00Zhttps://www.mdpi.com/1911-8074/14/11/560https://doaj.org/toc/1911-8066https://doaj.org/toc/1911-8074In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the Nikkei Stock Average (Nikkei), the Tokyo Stock Price Index (TOPIX) and the TOPIX sectoral indices for the period of 10 February 2016 to 24 March 2017. We employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model, the cross-correlation function, and the daily logarithmic returns of JPY, Nikkei, TOPIX and the TOPIX components with a weight of 5% and more in estimations (banks, chemicals, electric appliances, information and communication, machinery and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a third variable). We demonstrated how the impact of news about the results of the Brexit referendum (BR) and the United States presidential election (USE) in 2016 might spread among the variables indirectly within a week.Mirzosaid SultonovMDPI AGarticlevolatility spilloverexchange ratestock marketJapanRisk in industry. Risk managementHD61FinanceHG1-9999ENJournal of Risk and Financial Management, Vol 14, Iss 560, p 560 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	volatility spillover exchange rate stock market Japan Risk in industry. Risk management HD61 Finance HG1-9999
spellingShingle	volatility spillover exchange rate stock market Japan Risk in industry. Risk management HD61 Finance HG1-9999 Mirzosaid Sultonov External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices
description	In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the Nikkei Stock Average (Nikkei), the Tokyo Stock Price Index (TOPIX) and the TOPIX sectoral indices for the period of 10 February 2016 to 24 March 2017. We employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model, the cross-correlation function, and the daily logarithmic returns of JPY, Nikkei, TOPIX and the TOPIX components with a weight of 5% and more in estimations (banks, chemicals, electric appliances, information and communication, machinery and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a third variable). We demonstrated how the impact of news about the results of the Brexit referendum (BR) and the United States presidential election (USE) in 2016 might spread among the variables indirectly within a week.
format	article
author	Mirzosaid Sultonov
author_facet	Mirzosaid Sultonov
author_sort	Mirzosaid Sultonov
title	External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices
title_short	External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices
title_full	External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices
title_fullStr	External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices
title_full_unstemmed	External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices
title_sort	external shocks and volatility overflow among the exchange rate of the yen, nikkei, topix and sectoral stock indices
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/756d759278ab4bc5b3ec5094c0fecc01
work_keys_str_mv	AT mirzosaidsultonov externalshocksandvolatilityoverflowamongtheexchangerateoftheyennikkeitopixandsectoralstockindices
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External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices

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