Author(s)

Yanbin Pu, Huangjin Liu

Corresponding Author

Yanbin Pu

ABSTRACT

After the financial crisis, the volatility of the global stock market, strategic commodity market and the economic uncertainty make it of great importance to study on the volatility spillover between different markets to prevent the global financial market risks. This paper draws on the methods of Diebold, Yilmaz and Antonakakisn to obtain the correlation between the US equities, Chinese equities, Emerging markets equities, strategic commodities (gold and crude oil), and the US economic policy uncertainty [1-6]. This article selects the daily implied volatility data in six markets from March 16, 2011 to June 24, 2021 to calculate the static and dynamic volatility spillover index and compare the rolling window method with time-varying parameter method. The results show that the stock market plays a dominant role in the transmission of volatility, and the spillover index between variables is bidirectional and asymmetric. In the sample period, the system fluctuations originate from other variables, and the stock market has a strong pass-through effect. The total overflow indices obtained by the rolling window method and the time-varying parameter method are similar.

KEYWORDS

Stock Market, Strategic Commodities, Economic Uncertainty, Volatility Spillover, Implied Volatility