Cited By (@RePEc)


 

Discussion Paper

No. 2007-35 | August 06, 2007
Asymmetry and Spillover Effects in the North American Equity Markets

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.

JEL Classification

C32 C53 F31 G15

Cite As

Giorgio Canarella, Sunil K. Sapra, and Stephen K. Pollard (2007). Asymmetry and Spillover Effects in the North American Equity Markets. Economics Discussion Papers, No 2007-35, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2007-35

Assessment



Comments and Questions


Anonymous - Referee Report
September 04, 2007 - 14:46

see attached file


Anonymous - Referee Report
September 07, 2007 - 13:40

see attached file


Giorgio Canarella - Responses to Referee Reports
September 12, 2007 - 10:05

see attached file