Počet záznamů: 1
Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?
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SYSNO ASEP 0432107 Druh ASEP V - Výzkumná zpráva Zařazení RIV Záznam nebyl označen do RIV Název Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market? Tvůrce(i) Baruník, J. (CZ)
Kočenda, Evžen (NHU-C) RID
Vácha, L. (CZ)Vyd. údaje Kiel: Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, 2014 Edice FinMaP-Working Papers Č. sv. edice 13 Poč.str. 28 s. Forma vydání Online - E Jazyk dok. eng - angličtina Země vyd. DE - Německo Klíč. slova volatility ; spillovers ; financial markets Vědní obor RIV AH - Ekonomie CEP GA14-24129S GA ČR - Grantová agentura ČR Institucionální podpora NHU-C - PRVOUK-P23 Anotace 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. Pracoviště Národohospodářský ústav - CERGE Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2015 Elektronická adresa http://hdl.handle.net/10419/102277
Počet záznamů: 1