Arbeitspapier
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do not strictly dominate positive spillovers. We find that the overall intra-market connectedness of U.S. stocks increased substantially during the financial crisis.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 5305
- Klassifikation
-
Wirtschaft
Methodological Issues: General
Financial Econometrics
International Financial Markets
- Thema
-
volatility
spillovers
semivariance
asymmetric effects
financial markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Baruník, Jozef
Kocenda, Evžen
Vácha, Lukáš
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Baruník, Jozef
- Kocenda, Evžen
- Vácha, Lukáš
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2015
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