Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US | Zendy

Nikolaos Giannellis | Zendy; Angelos Kanas | Zendy; Athanasios Papadopoulos | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US

Author(s) -

Nikolaos Giannellis,

Angelos Kanas,

Athanasios Papadopoulos

Publication year - 2010

Publication title -

panoeconomicus

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.289

H-Index - 14

eISSN - 2217-2386

pISSN - 1452-595X

DOI - 10.2298/pan1004429g

Subject(s) - economics , volatility (finance) , stock market , econometrics , spillover effect , stock (firearms) , interdependence , autoregressive conditional heteroskedasticity , financial economics , multivariate statistics , monetary economics , macroeconomics , statistics , mechanical engineering , paleontology , mathematics , horse , political science , law , engineering , biology

This paper examines the short-run dynamic relationships between stock market and real activity, within a country, for the UK and the US. The Cross Correlation Function testing procedure is applied to test for causality in mean and in variance between the stock market and the real economic sector. Besides variance causation, volatility spillover effects are examined through the multivariate specification form of the Exponential GARCH model. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country, implying stronger interdependencies in the UK rather than in the US and asymmetric behavior only in the case of the UK

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research