Abstract
The transmission mechanism of price and volatility spillovers across the New York, Tokyo and London stock markets is investigated. The asymmetric impact of good news (market advances) and bad news (market declines) on volatility transmission is described by an extended multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model. Using daily open-to-close returns, we find strong evidence that volatility spillovers in a given market are much more pronounced when the news arriving from the last market to trade is bad. A before and after October 1987 crash analysis reveals that the linkages and interactions among the three markets have increased substantially in the post-crash era, suggesting that national markets have grown more interdependent.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
