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Asymmetric Cross‐market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Markets

Nicholas Apergis () and Anthony Rezitis ()

Manchester School, 2001, vol. 69, issue s1, 81-96

Abstract: We investigate cross‐market volatility spillover effects across New York and London foreign exchange and equity markets. By using several daily data‐sets, each relating to a different time of the day, and the generalized autoregressive conditional heteroscedasticity approach, the empirical analysis found volatility spillover effects (meteor shower effects) from the foreign exchange market in London and New York to the equity market in New York and London, respectively. By contrast, the results did not show volatility spillover effects from the equity markets to the foreign exchange markets across New York and London.

Date: 2001
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