Asymmetry and Spillover Effects in the North American Equity Markets

52 Pages Posted: 18 Dec 2010

See all articles by Giorgio Canarella

Giorgio Canarella

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

Sunil K. Sapra

affiliation not provided to SSRN

Stephen K. Pollard

TUI University

Multiple version iconThere are 2 versions of this paper

Date Written: 2007

Abstract

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. 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 findings indicate that the US market has a significant impact on the returns in the Canadian and Mexican markets. However, the findings for Canada vary considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return 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. Moreover, while the impact of positive shocks from the US equity market is not much different between the two markets, this is not the case with negative shocks, which affect the volatility of the Mexican market more intensely than the volatility of the Canadian market. --

Keywords: APARCH, Asymmetric Spillovers, North American Stock Markets

JEL Classification: C53, F31, G15, C32

Suggested Citation

Canarella, Giorgio and Sapra, Sunil K. and Pollard, Stephen K., Asymmetry and Spillover Effects in the North American Equity Markets (2007). Economics: The Open-Access, Open-Assessment E-Journal, Vol. 1, 2007-12. Available at SSRN: https://ssrn.com/abstract=1726791 or http://dx.doi.org/10.5018/economics-ejournal.ja.2007-12

Giorgio Canarella

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

Sunil K. Sapra

affiliation not provided to SSRN

Stephen K. Pollard (Contact Author)

TUI University ( email )

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

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