{"title":"International stock market volatility: A global tail risk sight","authors":"Xinjie Lu , Qing Zeng , Juandan Zhong , Bo Zhu","doi":"10.1016/j.intfin.2023.101904","DOIUrl":null,"url":null,"abstract":"<div><p>This paper constructs a global tail risk (GTR) index and investigates the role of GTR in predicting the volatility of international stock markets. The results emphasize that GTR contains valuable information to predict the stock volatility of group <span>(7)</span> (G7) countries. In addition, accounting for the information of GTR and regime switching together can further improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime switching. The results are robust in different robustness checks and even during the global financial crisis period. Our paper tries to provide new evidence for tail risk in international stock market volatility prediction.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4000,"publicationDate":"2023-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Markets Institutions & Money","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042443123001725","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
This paper constructs a global tail risk (GTR) index and investigates the role of GTR in predicting the volatility of international stock markets. The results emphasize that GTR contains valuable information to predict the stock volatility of group (7) (G7) countries. In addition, accounting for the information of GTR and regime switching together can further improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime switching. The results are robust in different robustness checks and even during the global financial crisis period. Our paper tries to provide new evidence for tail risk in international stock market volatility prediction.
期刊介绍：
International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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