Asymmetric Cross-Market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Markets
AbstractWe investigate cross-market volatility spillover effects across New York and London foreign exchange and equity markets. By using several daily data-sets, each relating to a different time of the day, and the generalized autoregressive conditional heteroscedasticity approach, the empirical analysis found volatility spillover effects (meteor shower effects) from the foreign exchange market in London and New York to the equity market in New York and London, respectively. By contrast, the results did not show volatility spillover effects from the equity markets to the foreign exchange markets across New York and London. Copyright 2001 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Bibliographic InfoArticle provided by University of Manchester in its journal Manchester School.
Volume (Year): 69 (2001)
Issue (Month): 0 (Supplement)
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- Oyewumi, Olubukola Ayodeju & Sarker, Rakhal, 2010. "Volatility Spill-over in a Customs Union: The Case of South Africa Sheep Import from Namibia," 2010 AAAE Third Conference/AEASA 48th Conference, September 19-23, 2010, Cape Town, South Africa 96196, African Association of Agricultural Economists (AAAE);Agricultural Economics Association of South Africa (AEASA).
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- Tian Yong Fu & Mark J. Holmes & Daniel F.S. Choi, 2011. "Volatility transmission and asymmetric linkages between the stock and foreign exchange markets: A sectoral analysis," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(1), pages 36-50, March.
- Buguk, Cumhur & Hudson, Darren & Hanson, Terrill R., 2003. "Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(01), April.
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