Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F16%3A10306867" target="_blank" >RIV/00216208:11230/16:10306867 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.finmar.2015.09.003" target="_blank" >http://dx.doi.org/10.1016/j.finmar.2015.09.003</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.finmar.2015.09.003" target="_blank" >10.1016/j.finmar.2015.09.003</a>

Result language
angličtina
Original language name
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
Original language description
In this paper, we examine how to quantify asymmetries in vola- tility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do not strictly dominate positive spillovers. We find that the overall intra-market connectedness of U.S. stocks increased substantially during the recent financial crisis.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA14-24129S" target="_blank" >GA14-24129S: Dynamic correlations and financial market risk</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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