Earticle

초록

영어

This paper investigates asymmetries in volatility connectedness among the G7 stock markets. Using daily realized semi-volatility indices, obtained from intra-day data, we provide ample evidence for the asymmetric volatility connectedness. We find that the impact of bad volatility strictly dominates that of good volatility in generating connectedness across financial markets. In particular, the global financial crisis and the European debt crisis have witnessed most influential episodes of volatility connectedness. We also discuss that the effect of the US stock market on other countries has been largely due to bad volatility.

목차

ABSTRACT
1. Introduction
2. Empirical methodology
2.1 Realized variance and semi-variance
2.2 Connectedness approach
2.3 Asymmetric volatility connectedness
4. Empirical results
4.1 Full-sample analysis
4.2 Dynamic analysis
5. Conclusion
References
Appendix

키워드

저자

• Hahn S. Lee [ Department of Economics, Sogang University ] Corresponding Author
• Woo Suk Lee [ Department of Economics, Sogang University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330