Using unique minute-by-minute data on six major country implied volatility series, we examine the spillovers and the leadership positions of the global stock exchanges through measuring and assigning the contributions of innovations among their implied volatilities. The entire analyses are performed on synchronized transactions. A hybrid leadership methodology that is computationally efficient is employed. In nearly all cases, the findings indicate a clear relative leadership position for one or more exchanges. These, in turn, provide important insights into the operations of the markets and convey the dynamic process among them. We also address the transmission mechanism and volatility efficiency.

我们使用有关六个主要国家隐含波动率序列的独特的每分钟数据，通过测量和分配创新在隐含波动率中的贡献，研究了全球股票交易所的溢出效应和领导地位。整个分析是在同步事务上执行的。采用了一种计算效率高的混合领导方法。在几乎所有情况下，调查结果表明一个或多个交流的相对领导者地位明显。这些反过来又提供了对市场运作的重要见解，并传达了其中的动态过程。我们还讨论了传导机制和波动率效率。