Asymmetry in spillover effects: Evidence for international stock index futures markets

Larisa Yarovaya, Janusz Brzeszczynski, Chi Keung Marco Lau

Research output: Contribution to journalArticle

5 Citations (Scopus)


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
Early online date12 Jul 2017
Publication statusPublished - Oct 2017


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