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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/18010| Title: | Asymmetry and Spillover Effects in the North American Equity Markets |
| Keywords: | C53 F31 G15 C32 ddc:330 APARCH Asymmetric Spillovers North American Stock Markets Börsenkurs Volatilität Spillover-Effekt Aktienmarkt ARCH-Modell USA Kanada Mexiko |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. 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 findings indicate that the US market has a significant impact on the returns in the Canadian and Mexican markets. However, the findings for Canada vary considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return 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. Moreover, while the impact of positive shocks from the US equity market is not much different between the two markets, this is not the case with negative shocks, which affect the volatility of the Mexican market more intensely than the volatility of the Canadian market. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/18010 |
| Other Identifiers: | Economics: The Open-Access, Open-Assessment E-Journal 1 2007-12 1-52 doi:10.5018/economics-ejournal.ja.2007-12 doi:10.5018/economics-ejournal.ja.2007-12 http://hdl.handle.net/10419/18010 ppn:546727654 http://www.economics-ejournal.org/economics/journalarticles/2007-12 RePEc:zbw:ifweej:6635 |
| Appears in Collections: | EconStor |
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