Asymmetry and Spillover Effects in the North American Equity Markets

Giorgio Canarella, Sunil Sapra () and Stephen K. Pollard

No 2007-35, Economics Discussion Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean spillover effects, exhibit an asymmetric behavior, with negative shocks from the US equity market impacting on the conditional volatility of the Canadian and Mexican equity markets more deeply than positive shocks.

Keywords: APARCH; Asymmetric Spillovers; North American Stock Markets (search for similar items in EconPapers)
JEL-codes: C32 C53 F31 G15 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (8)

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Journal Article: Asymmetry and Spillover Effects in the North American Equity Markets (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:6162

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