Arbeitspapier
Asymmetry and Spillover Effects in the North American Equity Markets
In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean spillover effects, exhibit an asymmetric behavior, with negative shocks from the US equity market impacting on the conditional volatility of the Canadian and Mexican equity markets more deeply than positive shocks.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2007-35
- Klassifikation
-
Wirtschaft
International Financial Markets
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Foreign Exchange
- Thema
-
APARCH
Asymmetric Spillovers
North American Stock Markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Canarella, Giorgio
Sapra, Sunil K.
Pollard, Stephen K.
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Canarella, Giorgio
- Sapra, Sunil K.
- Pollard, Stephen K.
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2007
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