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Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US

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  • Nikolaos Giannellis
  • Angelos Kanas
  • Athanasios P. Papadopoulos

Abstract

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. Key words: Stock market, Real activity, Volatility spillovers, UK, US.JEL: C32, E44, G12.

Suggested Citation

  • Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos, 2010. "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(4), pages 429-445.
    • Handle: RePEc:voj:journl:v:57:y:2010:i:4:p:429-445:id:199
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    More about this item

    Keywords

    Stock market; Real activity; Volatility spillovers; UK; US;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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