Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period

Aktham Maghyereh, Basel Awartani and Hussein Abdoh

The Journal of Economic Asymmetries, 2022, vol. 25, issue C

Abstract: This paper studies risk transmissions in six global markets: the US, Japan, Canada, Germany, the UK, and France. The paper distinguishes between the good volatility from increases in intra-day prices and the bad volatility that arises from intra-day price declines. Our results indicate persistent and uniform asymmetries in the information transmission mechanism: the bad volatility spillovers in the system are higher than the spillovers of good volatility. These pronounced asymmetries are countercyclical because they strengthen after the interest rate declines and weaken after it rises. Finally, there are clear bursts in risk transfer and asymmetries during the times of the global financial crisis and the COVID pandemic crisis. These findings have important implications for risk forecasting, asset pricing, and portfolio diversification.

Keywords: Volatility connectedness; Spillovers semi variance; Asymmetric effects; Financial crisis (search for similar items in EconPapers)
JEL-codes: C32 C58 G10 G13 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:25:y:2022:i:c:s170349492100044x

DOI: 10.1016/j.jeca.2021.e00239

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