Asymmetric ambiguity spillover among international equity markets

ABSTRACT

We investigate the ambiguity spillover among international equity markets. We follow Brennan and Izhakian (2018) and develop monthly ambiguity measures using high-frequency trading data of equity indices. The ambiguity spillover demonstrates noticeable asymmetry. The US equity market is the largest ambiguity transmitter to the other markets, while the French equity market is the largest recipient. China has small ambiguity connectedness with the remaining markets. The risk, however, has similarly symmetric spillover effects among different markets.

KEYWORDS:

• Ambiguity
• risk
• spillover
• asymmetry
• high-frequency data

JEL CLASSIFICATION:

• C30
• D80
• G15

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ Data source: The World Federation of Exchanges.

² Due to different trading hours, there are different numbers of observations per day in different equity markets. The maximum number of observations is 79 for SP500(9:30 am-4:00 pm), 103 for FTSE100 (8:00 am-4:30 pm), 103 for CAC40 (9:00 am-5:30 pm), 49 for CSI300 (9:30 am-11:30 am, 1:00 pm-3:00 pm) and 55 for NIKKEI255 (9:00 am-11:00 am, 12:30 pm-3:00 pm).

³ The results are robust for alternative window lengths, such as 48 and 60.