Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US
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....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Economists' Association of Vojvodina
2010-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2010/1452-595X1004429G.pdf |
| _version_ | 1818141250648276992 |
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| author | Kanas Angelos Papadopoulos Athanasios P. Giannellis Nikolaos |
| author_facet | Kanas Angelos Papadopoulos Athanasios P. Giannellis Nikolaos |
| author_sort | Kanas Angelos |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-11T10:56:54Z |
| format | Article |
| id | doaj.art-eae96a47e86245bcb56b777a1ac88417 |
| institution | Directory Open Access Journal |
| issn | 1452-595X |
| language | English |
| last_indexed | 2024-12-11T10:56:54Z |
| publishDate | 2010-01-01 |
| publisher | Economists' Association of Vojvodina |
| record_format | Article |
| series | Panoeconomicus |
| spelling | doaj.art-eae96a47e86245bcb56b777a1ac884172022-12-22T01:10:02ZengEconomists' Association of VojvodinaPanoeconomicus1452-595X2010-01-0157442944510.2298/PAN1004429GAsymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the USKanas AngelosPapadopoulos Athanasios P.Giannellis NikolaosThis 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.http://www.doiserbia.nb.rs/img/doi/1452-595X/2010/1452-595X1004429G.pdfstock marketreal activityvolatility spilloversUKUS |
| spellingShingle | Kanas Angelos Papadopoulos Athanasios P. Giannellis Nikolaos Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US Panoeconomicus stock market real activity volatility spillovers UK US |
| title | Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US |
| title_full | Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US |
| title_fullStr | Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US |
| title_full_unstemmed | Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US |
| title_short | Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US |
| title_sort | asymmetric volatility spillovers between stock market and real activity evidence from the uk and the us |
| topic | stock market real activity volatility spillovers UK US |
| url | http://www.doiserbia.nb.rs/img/doi/1452-595X/2010/1452-595X1004429G.pdf |
| work_keys_str_mv | AT kanasangelos asymmetricvolatilityspilloversbetweenstockmarketandrealactivityevidencefromtheukandtheus AT papadopoulosathanasiosp asymmetricvolatilityspilloversbetweenstockmarketandrealactivityevidencefromtheukandtheus AT giannellisnikolaos asymmetricvolatilityspilloversbetweenstockmarketandrealactivityevidencefromtheukandtheus |