基地研究员陈舒宁与合作者（Jianxin Wang, UTS Business School, University of Technology Sydney）的论文“A New Channel for Global Volatility Propagation” 在重要学术期刊The European Journal of Finance在线发表。

Abstract:

IWe 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

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

教师简介

陈舒宁，女，中南财经政法大学，会计学院导师，主要研究方向为资本市场与投资者行为、大数据、公司治理。