Asymmetric and threshold effects on comovements among Germanic cross-listed equities

Athanasios Koulakiotis, Nikos Kartalis, Katerina Lyroudi and Nicholas Papasyriopoulos
Authors registered in the RePEc Author Service: Νικολαοσ Καρταλησ

International Review of Economics & Finance, 2012, vol. 24, issue C, 327-342

Abstract: This study examines a combination of comovement and integration effects on volatility of home cross-listed equities in three Germanic markets (Frankfurt, Zurich and Vienna). Specifically, we investigate the impact of lagged stock prices and lagged futures contracts on asymmetric (bad and good news) and threshold effects (small and large news).

Keywords: Asymmetry; Thresholds; GARCH model; Futures contracts; Comovements (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:24:y:2012:i:c:p:327-342

DOI: 10.1016/j.iref.2011.11.001

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