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 -