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Asymmetric and threshold effects on comovements among Germanic cross-listed equities

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  • Koulakiotis, Athanasios
  • Kartalis, Nikos
  • Lyroudi, Katerina
  • Papasyriopoulos, Nicholas

Abstract

This study examines a combination of comovement and integration effects on volatility of home cross-listed equities in three Germanic markets (Frankfurt, Zurich and Vienna). Specifically, we investigate the impact of lagged stock prices and lagged futures contracts on asymmetric (bad and good news) and threshold effects (small and large news).

Suggested Citation

  • Koulakiotis, Athanasios & Kartalis, Nikos & Lyroudi, Katerina & Papasyriopoulos, Nicholas, 2012. "Asymmetric and threshold effects on comovements among Germanic cross-listed equities," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 327-342.
  • Handle: RePEc:eee:reveco:v:24:y:2012:i:c:p:327-342
    DOI: 10.1016/j.iref.2011.11.001
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    References listed on IDEAS

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    Cited by:

    1. Chen, Mei-Ping & Chen, Pei-Fen & Lee, Chien-Chiang, 2014. "Frontier stock market integration and the global financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 84-103.
    2. Bentes, Sonia R., 2018. "Is stock market volatility asymmetric? A multi-period analysis for five countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 258-265.

    More about this item

    Keywords

    Asymmetry; Thresholds; GARCH model; Futures contracts; Comovements;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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