ASYMMETRIC IMPACT OF NEWS ON STOCK RETURN VOLATILITY

Joon-Young Song
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Joon-Young Song: University of Findlay, USA

Chapter 14 in Banking and Capital Markets:New International Perspectives, 2010, pp 373-409 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionDataModelsModels for Return Volatility SpilloversModel I-A: Spillover GARCH(1,1)-M for Pairwise EffectsModel I-B: Spillover GARCH(1,1)-M for Simultaneous EffectsModels for the Asymmetric News Impact on Volatility SpilloversModel II: Spillover GJR-GARCH (1,1)-M for Pairwise EffectsEmpirical ResultsSize-Sorted PortfoliosVolatility Spillover EffectsAsymmetric Impacts of News on Volatility SpilloversMarket- and Industry-Sorted PortfoliosVolatility Spillover EffectsAsymmetric Impacts of News on Volatility SpilloversConclusionsEndnotesReferences

Keywords: Financial Crises; Bank Lending; Corporate Governance; Equity Costs; International Joint Ventures; Value-at-Risk; Cross-Border Acquisitions; Cross-Country Listings; Buyout Activity; Spillover Effects (search for similar items in EconPapers)
Date: 2010
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