Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?

0441288 - NHÚ 2015 DE eng V - Výzkumná zpráva
Baruník, Jozef - Kočenda, Evžen - Vácha, Lukáš
Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?.
Kiel: Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, 2014. 28 s. FinMaP-Working Papers, 13.
Grant CEP: GA ČR(CZ) GA14-24129S
Institucionální podpora: RVO:67985998 ; RVO:67985556
Klíčová slova: volatility * spillovers * financial markets
Kód oboru RIV: AH - Ekonomie
http://hdl.handle.net/10419/102277

We suggest how to quantify asymmetries in volatility spillovers due to bad and good volatility. Using high frequency data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks. We universally reject the hypothesis of symmetric connectedness at the disaggregate level but in contrast, we document the symmetric transmission of information in an aggregated portfolio. We show that bad and good volatility is transmitted at different magnitudes in different sectors, and the asymmetries sizably change over time. 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 with the increased uncertainty of stock market participants during the financial crisis.
Trvalý link: http://hdl.handle.net/11104/0244325