Asymmetry in spillover effects: Evidence for international stock index futures markets

Yarovaya, Larisa and Brzeszczyński, Janusz and Lau, Marco C. K. (2017) Asymmetry in spillover effects: Evidence for international stock index futures markets. International Review of Financial Analysis, 53. pp. 94-111. ISSN 1057-5219

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Official URL: https://doi.org/10.1016/j.irfa.2017.07.007

Abstract

The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets pairs with non-overlapping trading hours. The asymmetric causality test is employed to daily stock index futures returns and volatilities for the period from 03 October 2010 to 03 October 2014. The paper sheds the light on the relatively little explored concept of asymmetry in return and volatility spillovers across markets, providing the novel evidence on stabilizing and destabilizing spillover effects.

Item Type: Journal Article
Keywords: asymmetric spillover effect, return and volatility transmission, stabilizing and destabilizing spillover effect
Faculty: ARCHIVED Lord Ashcroft International Business School (until September 2018)
Depositing User: Dr Larisa Yarovaya
Date Deposited: 19 Sep 2017 14:56
Last Modified: 23 Apr 2019 16:13
URI: http://arro.anglia.ac.uk/id/eprint/702117

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