Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/110804
Authors: 
Baruník, Jozef
Kocenda, Evžen
Vácha, Lukáš
Year of Publication: 
2015
Series/Report no.: 
CESifo Working Paper 5305
Abstract: 
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes that sizably change over time in different sectors. 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 during the financial crisis.
Subjects: 
volatility
spillovers
semivariance
asymmetric effects
financial markets
JEL: 
C18
C58
G15
Document Type: 
Working Paper

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