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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17958| Title: | Asymmetry and Spillover Effects in the North American Equity Markets |
| Keywords: | G15 C32 C53 F31 ddc:330 APARCH Asymmetric Spillovers North American Stock Markets |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | 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. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/17958 |
| Other Identifiers: | http://hdl.handle.net/10419/17958 ppn:55830429X RePEc:zbw:ifwedp:6162 |
| Appears in Collections: | EconStor |
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