Asymmetry and Spillover Effects in the North American Equity Markets

53 Pages Posted: 29 Nov 2010

See all articles by Giorgio Canarella

Giorgio Canarella

California State University, Los Angeles - Department of Economics & Statistics; University of Nevada, Las Vegas

Bertil Holmlund

Uppsala University - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute); IZA Institute of Labor Economics

Stephen K. Pollard

TUI University

Multiple version iconThere are 2 versions of this paper

Date Written: 2007

Abstract

In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean spillover effects, exhibit an asymmetric behavior, with negative shocks from the US equity market impacting on the conditional volatility of the Canadian and Mexican equity markets more deeply than positive shocks.

Keywords: APARCH, Asymmetric Spillovers, North American Stock Markets

JEL Classification: G15, C32, C53, F31

Suggested Citation

Canarella, Giorgio and Holmlund, Bertil and Pollard, Stephen K., Asymmetry and Spillover Effects in the North American Equity Markets (2007). Economics Discussion Paper No. 2007-35. Available at SSRN: https://ssrn.com/abstract=1716638 or http://dx.doi.org/10.2139/ssrn.1716638

Giorgio Canarella (Contact Author)

California State University, Los Angeles - Department of Economics & Statistics ( email )

Los Angeles
Los Angeles, CA 90032
United States

University of Nevada, Las Vegas ( email )

4505 S. Maryland Parkway
Las Vegas, NV 89154
United States

Bertil Holmlund

Uppsala University - Department of Economics ( email )

SE-75120 Uppsala
Sweden
+46 18 471 1122 (Phone)
+46 18 471 1478 (Fax)

HOME PAGE: http://www.nek.uu.se/faculty/holmlund/index.html

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Stephen K. Pollard

TUI University ( email )

5665 Plaza Dr., 3rd Floor
CA, 90630
Cypress, CA 90630
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
29
Abstract Views
465
PlumX Metrics