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Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US

Nikolaos, Giannellis, Kanas, Angelos, Papadopoulos, Athanasios P. (2010) Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US. Panoeconomicus, 57 (4). pp. 429-445. ISSN 1452-595X. (doi:10.2298/PAN1004429G) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.2298/PAN1004429G

Abstract

This paper examines the short-run dynamic relationships between stock market and real activity, within a country, for the UK and the US. The Cross Correlation Function testing procedure is applied to test for causality in mean and in variance between the stock market and the real economic sector. Besides variance causation, volatility spillover effects are examined through the multivariate specification form of the Exponential GARCH model. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country, implying stronger interdependencies in the UK rather than in the US and asymmetric behavior only in the case of the UK.

Item Type: Article
DOI/Identification number: 10.2298/PAN1004429G
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Ioannina, Greece [Field not mapped to EPrints] AD - Department of Economics, University of Piraeus, Greece [Field not mapped to EPrints] AD - Department of Economics, University of Crete, Greece [Field not mapped to EPrints] JA - Panoeconomicus [Field not mapped to EPrints]
Uncontrolled keywords: Real activity, Stock market, UK, US, Volatility spillovers
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 13:35 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41141 (The current URI for this page, for reference purposes)
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