Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17958Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Canarella, Giorgio | - |
| dc.creator | Sapra, Sunil K. | - |
| dc.creator | Pollard, Stephen K. | - |
| dc.date | 2007 | - |
| dc.date.accessioned | 2013-10-16T06:57:35Z | - |
| dc.date.available | 2013-10-16T06:57:35Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/17958 | - |
| dc.identifier | ppn:55830429X | - |
| dc.identifier | RePEc:zbw:ifwedp:6162 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/17958 | - |
| dc.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. | - |
| dc.language | eng | - |
| dc.publisher | Kiel Institute for the World Economy (IfW) Kiel | - |
| dc.relation | Economics Discussion Papers / Institut für Weltwirtschaft 2007-35 | - |
| dc.rights | http://creativecommons.org/licenses/by-nc/2.0/de/deed.en | - |
| dc.subject | G15 | - |
| dc.subject | C32 | - |
| dc.subject | C53 | - |
| dc.subject | F31 | - |
| dc.subject | ddc:330 | - |
| dc.subject | APARCH | - |
| dc.subject | Asymmetric Spillovers | - |
| dc.subject | North American Stock Markets | - |
| dc.title | Asymmetry and Spillover Effects in the North American Equity Markets | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.