Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17958
Authors: 
Canarella, Giorgio
Sapra, Sunil K.
Pollard, Stephen K.
Year of Publication: 
2007
Series/Report no.: 
Economics Discussion Papers / Institut für Weltwirtschaft 2007-35
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.
Subjects: 
APARCH
Asymmetric Spillovers
North American Stock Markets
JEL: 
G15
C32
C53
F31
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Working Paper

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