English, Article, Journal or magazine article edition: Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US Nikolaos Giannellis; Athanasios Papadopoulos; Angelos Kanas

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Bookmark: http://trove.nla.gov.au/version/76907
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US
Author
  • Nikolaos Giannellis
  • Athanasios Papadopoulos
  • Angelos Kanas
Physical Description
  • preprint
Notes
  • By estimating bivariate EGARCH (2, 1) models, we find significant short run dynamic relations between stock market and real activity for the UK and the US over the period 1970-2002. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country, implying stronger interdependencies in UK rather than in US. Volatility spillovers, transmitted via the balance sheet channel, are found to be asymmetric only in the case of UK. Namely, a negative shock in the stock market increases volatility in the real economy more than a positive shock.
  • Stock market, real activity, volatility spillovers, UK, US
  • RePEc:crt:wpaper:0807
Language
  • English
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