Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18010
Authors: 
Pollard, Stephen K.
Sapra, Sunil K.
Canarella, Giorgio
Year of Publication: 
2007
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 1 [Issue:] 2007-12 [Pages:] 1-52 [DOI/URN:] doi:10.5018/economics-ejournal.ja.2007-12
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.
Subjects: 
APARCH
Asymmetric Spillovers
North American Stock Markets
JEL: 
C53
F31
G15
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Article

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