Asymmetric volatility transmission in international stock markets

被引：347

作者：

Koutmos, G ^{[1
]}

Booth, GG ^{[1
]}

机构：

[1] LOUISIANA STATE UNIV,DEPT FINANCE,BATON ROUGE,LA 70803

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1995年 / 14卷 / 06期

关键词：

D O I：

10.1016/0261-5606(95)00031-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：747 / 762

页数：16

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