Asymmetric Cross-Market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Markets

Posted: 23 Jun 2008

See all articles by Nicholas Apergis

Nicholas Apergis

University of Piraeus; University of Derby

Anthony N. Rezitis

affiliation not provided to SSRN

Date Written: June, 23 2008

Abstract

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

Suggested Citation

Apergis, Nicholas and Rezitis, Anthony N., Asymmetric Cross-Market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Markets (June, 23 2008). Manchester School, Vol. 69, pp. 81-96 , 2001 . Available at SSRN: https://ssrn.com/abstract=1150224

Nicholas Apergis

University of Piraeus ( email )

Karaoli and Dimitriou 80
80 KARAOLI & DIMITRIOU STREET
Piraeus, Attiki 18534
Greece

University of Derby ( email )

Kedleston Road
Derby, Derbyshire DE22 1GB
United Kingdom

Anthony N. Rezitis (Contact Author)

affiliation not provided to SSRN

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