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Cross-Market Infection Research on Stock Herding Behavior Based on DGC-MSV Models and Bayesian Network
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Cross-Market Infection Research on Stock Herding Behavior Based on DGC-MSV Models and Bayesian Network
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Journal Article
Cross-Market Infection Research on Stock Herding Behavior Based on DGC-MSV Models and Bayesian Network
2021
Overview
This paper is concerned with the multivariate stochastic volatility modeling of the stock market. We investigate a DGC-t-MSV model to find the historical volatility spillovers between nine markets, including S&P, Nasdaq, SSE, SZSE, HSI, FTSE, CAC, DAX, and Nikkei indices. We use the Bayesian network to analyze the spreading of herd behavior between nine markets. The main results are as follows: (1) the DGC-t-MSV model we considered is a useful way to estimate the parameter and fit the data well in the stock market; (2) our computational analysis shows that the S&P and Nasdaq have higher volatility spillovers to the Shanghai and Shenzhen stock markets; (3) the results also show that there is a strong correlation between stock markets in the same region.
Publisher
Hindawi,John Wiley & Sons, Inc,Wiley
