search query: @author Booth, G. / total: 7
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| Author: | Koutmas, G. Booth, G. |
| Title: | Asymmetric volatility transmission in international stock markets |
| Journal: | Journal of International Money and Finance
1995 : DEC, VOL. 14:6, p. 747-762 |
| Index terms: | STOCK MARKETS INTERNATIONAL MONEY |
| Language: | eng |
| Abstract: | The transmission mechanism of price and volatility spillovers across the New York, Tokyo and London stock markets is investigated. The asymmetric impact of good news (market advances) and bad news (market declines) on volatility transmission is described by an extended multivariate Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH) model. Using daily open-to-close returns, the authors find strong evidence that volatility spillovers in a given market are much more pronounced when the news arriving from the last market to trade is bad. |
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