Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US

Nikolaos Giannellis (), Athanasios Papadopoulos () and Angelos Kanas

No 807, Working Papers from University of Crete, Department of Economics

Abstract: By estimating bivariate EGARCH (2, 1) models, we find significant short run dynamic relations between stock market and real activity for the UK and the US over the period 1970-2002. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country, implying stronger interdependencies in UK rather than in US. Volatility spillovers, transmitted via the balance sheet channel, are found to be asymmetric only in the case of UK. Namely, a negative shock in the stock market increases volatility in the real economy more than a positive shock.

Keywords: Stock market; real activity; volatility spillovers; UK; US (search for similar items in EconPapers)
JEL-codes: C32 E44 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-mac
Date: 2008-06-20
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Persistent link: http://EconPapers.repec.org/RePEc:crt:wpaper:0807

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