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Asymmetric Volatility in Emerging and Mature Markets

Author

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  • Shamila Jayasuriya

    (Shamila A. Jayasuriya, Ohio University, Department of Economics, Bentley Annex 325, Athens, OH 45701, U.S.A.)

  • William Shambora

    (William Shambora, Ohio University, Department of Economics, Bentley Annex 335 Athens, OH 45701, U.S.A.)

  • Rosemary Rossiter

    (Rosemary Rossiter, Ohio University, Department of Economics, Bentley Annex 357 Athens, OH 45701, U.S.A.)

Abstract

In his Nobel Laureate lecture Engle notes that asymmetric volatility has a significant impact on risk. In this article equity market volatility is estimated using an asymmetric power-GARCH model which nests many other popular models. We estimate the magnitude of asymmetric volatility for several emerging and mature markets for three sub-periods. Many mature markets exhibit large magnitudes of asymmetric volatility and several emerging markets do so as well. The magnitude of asymmetry varies by sub-period and is consistent with the suggestion in Campbell and Hentschel (1992) that asymmetry is greater when markets are more volatile.

Suggested Citation

  • Shamila Jayasuriya & William Shambora & Rosemary Rossiter, 2009. "Asymmetric Volatility in Emerging and Mature Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(1), pages 25-43, April.
    • Handle: RePEc:sae:emffin:v:8:y:2009:i:1:p:25-43
    DOI: 10.1177/097265270900800102
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    References listed on IDEAS

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    Cited by:

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    2. Simon MOORHEAD & Robert BROOKS, 2013. "The Effect of the Introduction of the Euro on Asymmetric Stock Market Returns Volatility Across the Euro-Zone," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 12(2), pages 280-301, June.
    3. Dzieliński, Michał & Rieger, Marc Oliver & Talpsepp, Tõnn, 2018. "Asymmetric attention and volatility asymmetry," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 59-67.
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    5. Krzysztof DRACHAL, 2017. "Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-53, September.
    6. Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.

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