Asymmetry in spillover effects

Evidence for international stock index futures markets

Larisa Yarovaya, Janusz Brzeszczynski, Chi Keung Marco Lau

Research output: Contribution to journalArticle

4 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)94-111
Number of pages18
JournalInternational Review of Financial Analysis
Volume53
Early online date12 Jul 2017
DOIs
Publication statusPublished - Oct 2017

Fingerprint

Stock index
Futures markets
Spillover effects
Volatility spillover
Asymmetry
Stock exchange
Causality test
Emerging markets
Stock index futures

Cite this

@article{04b8cfe9f7244656bde1a8a6ad9b3404,
title = "Asymmetry in spillover effects: Evidence for international stock index futures markets",
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.",
keywords = "Asymmetric spillover effects, Return and volatility transmissions, Stabilizing and destabilizing spillover effect",
author = "Larisa Yarovaya and Janusz Brzeszczynski and Lau, {Chi Keung Marco}",
year = "2017",
month = "10",
doi = "10.1016/j.irfa.2017.07.007",
language = "English",
volume = "53",
pages = "94--111",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier Inc.",

}

Asymmetry in spillover effects : Evidence for international stock index futures markets. / Yarovaya, Larisa; Brzeszczynski, Janusz; Lau, Chi Keung Marco.

In: International Review of Financial Analysis, Vol. 53, 10.2017, p. 94-111.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Asymmetry in spillover effects

T2 - Evidence for international stock index futures markets

AU - Yarovaya, Larisa

AU - Brzeszczynski, Janusz

AU - Lau, Chi Keung Marco

PY - 2017/10

Y1 - 2017/10

N2 - 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.

AB - 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.

KW - Asymmetric spillover effects

KW - Return and volatility transmissions

KW - Stabilizing and destabilizing spillover effect

U2 - 10.1016/j.irfa.2017.07.007

DO - 10.1016/j.irfa.2017.07.007

M3 - Article

VL - 53

SP - 94

EP - 111

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

ER -