Asymmetry in spillover effects: Evidence for international stock index futures markets
Janusz Brzeszczynski () and
Chi Keung Lau
International Review of Financial Analysis, 2017, vol. 53, issue C, 94-111
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.
Keywords: Asymmetric spillover effects; Return and volatility transmission; Stabilizing and destabilizing spillover effect (search for similar items in EconPapers)
JEL-codes: G15 G11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:53:y:2017:i:c:p:94-111
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