Volatility transmission in the UK equity market

Patricia Chelley-Steeley and James Steeley

The European Journal of Finance, 1996, vol. 2, issue 2, 145-160

Abstract: We provide evidence of the nature of the transmission of volatility within the UK stock market. We find a distinct asymmetry in that shocks to the return volatility of a portfolio of relatively large firms influence the future volatility of a portfolio of relatively small firms, but find that the reverse is not the case. The characteristics of the volatility process suggest that this result is not caused by thin trading.

Date: 1996
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DOI: 10.1080/13518479600000002

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