Asymmetry in spillover effects: evidence for international stock index futures markets
Asymmetry in spillover effects: evidence for international stock index futures markets
The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets pairs with non-overlapping trading hours. The asymmetric causality test is employed to daily stock index futures returns and volatilities for the period from 03 October 2010 to 03 October 2014. The paper sheds light on the relatively little explored concept of asymmetry in return and volatility spillovers across markets, providing novel evidence on stabilizing and destabilizing spillover effects.
asymmetric spillover effects, return and volatility transmission, stabializing and destabilizung spillover effect
94-111
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Brzeszczynski, Janusz
75889fb6-90d9-40d1-b7e3-98e67c8dafb8
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
October 2017
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Brzeszczynski, Janusz
75889fb6-90d9-40d1-b7e3-98e67c8dafb8
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa, Brzeszczynski, Janusz and Lau, Chi Keung Marco
(2017)
Asymmetry in spillover effects: evidence for international stock index futures markets.
International Review of Financial Analysis, 53, .
(doi:10.1016/j.irfa.2017.07.007).
Abstract
The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets pairs with non-overlapping trading hours. The asymmetric causality test is employed to daily stock index futures returns and volatilities for the period from 03 October 2010 to 03 October 2014. The paper sheds light on the relatively little explored concept of asymmetry in return and volatility spillovers across markets, providing novel evidence on stabilizing and destabilizing spillover effects.
Text
Yarovaya_Asymmetry
- Accepted Manuscript
More information
Accepted/In Press date: 7 July 2017
e-pub ahead of print date: 12 July 2017
Published date: October 2017
Keywords:
asymmetric spillover effects, return and volatility transmission, stabializing and destabilizung spillover effect
Identifiers
Local EPrints ID: 426349
URI: http://eprints.soton.ac.uk/id/eprint/426349
ISSN: 1057-5219
PURE UUID: e9ff47f6-8565-48be-89f5-4056acf2e53f
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Date deposited: 23 Nov 2018 17:30
Last modified: 16 Mar 2024 07:18
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Contributors
Author:
Janusz Brzeszczynski
Author:
Chi Keung Marco Lau
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