Dr Shuning Chen, a researcher of the base, has published a collaborative paper titled "A New Channel for Global Volatility Propagation" in the The European Journal of Finance.

Abstract:

We compare two channels for global impact on local volatility: the direct channel in which global variables affect the expected value of local volatility, and a new channel in which they affect local volatility persistence. Using 21 equity indices in 17 developed economies, we show that (1) global variables are the main determinants of local volatility persistence; (2) the volatility-persistence channel contributes far more to local volatility variations than the direct channel; and (3) global average return contributes far more to local volatility variations than global average volatility. The global impact on local volatility persistence help explain the commonality in global volatility dynamics.

Keywords: International volatility propagation；conditional volatility persistence；volatility dynamics；global return；global volatility

Link: https://www.tandfonline.com/doi/abs/10.1080/1351847X.2023.2206040?journalCode=rejf20

Teacher profile

Shuning Chen, female, tutor of School of Accounting, Zhongnan University of Economics and Law. Her research interests include capital market and investor behavior, big data, and corporate governance.