Hsiu-Chuan Lee, Chih-Hsiang Hsu and Cheng-Yi Chien
The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of…
Abstract
Purpose
The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of swap markets contain useful information to explain subsequent stock price movements.
Design/methodology/approach
This study uses the short- and long-term swap spread volatility of the G7 countries to explore the spillover effects of international swap markets, and then investigates the relationship between swap and stock markets. The authors use the generalized VAR approach suggested by Diebold and Yilmaz (2012) to study spillovers of international swap markets. The Granger-causality tests are employed to examine the linkage of interest rate swap and stock markets.
Findings
This paper shows that a moderate spillover effect exists for the short- and long-term swap markets. Moreover, the results show that the short- and long-term swap markets of France and Germany have a larger impact on other countries’ swap markets than that of other countries’ swap markets on the French and German swap markets. Finally, the results indicate that the total volatility spillovers for the long-term swap markets have a larger influence on the total volatility spillover index of stock markets and the global stock market volatility than that of the short-term swap markets.
Originality/value
Prior literature has used impulse response and variance decomposition analyses to investigate international swap markets linkages. However, the results depend on the ordering of variables. This study uses the framework of Diebold and Yilmaz (2012) to overcome the ordering issue, and thus the authors can compute directional spillovers. This paper is the first study to explore the linkage of the total volatility spillover of swap markets and the stock markets.
Details
Keywords
Cheng-Yi Chien, Tzu-Hsiang Liao and Hsiu-Chuan Lee
– This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE).
Abstract
Purpose
This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE).
Design/methodology/approach
To estimate the information content of the order book, the modified information share proposed by Hasbrouck and extended by Lien and Shrestha is used in this paper.
Findings
The empirical results show that the limit order book is informative. Furthermore, the results indicate that a reduction in tick size will decrease the information content of the order book and the decrease in the information content of the order book is positively related to the thinner order book.
Originality/value
This paper suggests that, in order to enhance the information content of the order book, the TWSE should disclose the full limit order book.
Details
Keywords
Muhammad Usman Jamil, Waree Kongprawechnon and Muhammad Qamar Raza
The purpose of the proposed research methodology is to control the trajectory tracking of EDRM and also to cancel out the effect of no-smooth nonlinearities, which affect the…
Abstract
Purpose
The purpose of the proposed research methodology is to control the trajectory tracking of EDRM and also to cancel out the effect of no-smooth nonlinearities, which affect the system performance badly.
Design/methodology/approach
Robust adaptive neural network (RANN)-based backstepping control design methodology is presented in this paper. The proposed design methodology improves the trajectory tracking and running mean error.
Findings
The running mean error results show that the convergence of the proposed RANN-based backstepping technique is very fast as compare to the conventional PD control and due to this proposed control technique, the EDRM follows its desired trajectory perfectly.
Practical implications
The EDRM trajectory tracking performance increases which leads to a better working position of EDRM.
Originality/value
The originality of this research article is 93 per cent.