Volatility persistence in stock market

Hongwei Chuang

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


By using the unique dataset that consists of all brokers' daily trading information, I propose an empirical methodology to construct a Granger-causality financial network to study the relationship between dynamics of volatility and information diffusion in a stock market. The financial network I proposed not only provides a new way to describe mutual interconnectedness of brokers in the market, but the empirical results also show the financial network density is positively correlated to the realized volatility of the market.

Original languageEnglish
Pages (from-to)64-67
Number of pages4
JournalEconomics Letters
Publication statusPublished - 2015 Aug 1


  • Financial network
  • Long memory
  • Realized volatility
  • Systemic risk

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Volatility persistence in stock market'. Together they form a unique fingerprint.

Cite this