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Asymmetry in Spillover Effects: Evidence for International Stock Index Futures Markets

Yarovaya, Larisa, Brzeszczynski, Janusz and Lau, Marco Chi Keung (2017) Asymmetry in Spillover Effects: Evidence for International Stock Index Futures Markets. International Review of Financial Analysis, 53. pp. 94-111. ISSN 1057-5219

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Abstract

The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets pairs with non-overlapping trading hours. The asymmetric causality test is employed to daily stock index futures returns and volatilities for the period from 03 October 2010 to 03 October 2014. The paper sheds light on the relatively little explored concept of asymmetry in return and volatility spillovers across markets, providing novel evidence on stabilizing and destabilizing spillover effects.

Item Type: Article
Uncontrolled Keywords: Asymmetric spillover effects; Return and volatility transmission; Stabilizing and destabilizing spillover effect
Subjects: H Social Sciences > HB Economic Theory
Schools: Huddersfield Business School
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Depositing User: Jonathan Cook
Date Deposited: 14 Nov 2017 12:12
Last Modified: 26 Mar 2018 17:45
URI: http://eprints.hud.ac.uk/id/eprint/33879

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