Asymmetry and Spillover Effects in the North American Equity Markets

Giorgio Canarella, Sunil Sapra () and Stephen K. Pollard

No 2007-35, Economics Discussion Papers from Kiel Institute for the World Economy

Abstract: In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean spillover effects, exhibit an asymmetric behavior, with negative shocks from the US equity market impacting on the conditional volatility of the Canadian and Mexican equity markets more deeply than positive shocks. --

Keywords: APARCH; Asymmetric Spillovers; North American Stock Markets (search for similar items in EconPapers)
JEL-codes: G15 C32 C53 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: 2007

Downloads: (external link)
http://www.economics-ejournal.org/economics/discussionpapers/2007-35 (application/pdf)

Related works:
Journal Article: Asymmetry and Spillover Effects in the North American Equity Markets (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:zbw:ifwedp:6162

Access Statistics for this paper

More papers in Economics Discussion Papers from Kiel Institute for the World Economy
Contact information at EDIRC.
Series data maintained by ZBW - German National Library for Economics ().