Asymmetric volatility connectedness among G7 Stock Markets

다국어 초록 (Multilingual Abstract)

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 (Table of Contents)

• 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