Asymmetric Cross Market Volatility Spillovers

Download or read book Asymmetric Cross-Market Volatility Spillovers written by Nicholas Apergis and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We 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.