أعرض تسجيلة المادة بشكل مبسط

dc.creator Canarella, Giorgio
dc.creator Sapra, Sunil K.
dc.creator Pollard, Stephen K.
dc.date 2007
dc.date.accessioned 2013-10-16T06:57:35Z
dc.date.available 2013-10-16T06:57:35Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/17958
dc.identifier ppn:55830429X
dc.identifier RePEc:zbw:ifwedp:6162
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/17958
dc.description In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean spillover effects, exhibit an asymmetric behavior, with negative shocks from the US equity market impacting on the conditional volatility of the Canadian and Mexican equity markets more deeply than positive shocks.
dc.language eng
dc.publisher Kiel Institute for the World Economy (IfW) Kiel
dc.relation Economics Discussion Papers / Institut für Weltwirtschaft 2007-35
dc.rights http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
dc.subject G15
dc.subject C32
dc.subject C53
dc.subject F31
dc.subject ddc:330
dc.subject APARCH
dc.subject Asymmetric Spillovers
dc.subject North American Stock Markets
dc.title Asymmetry and Spillover Effects in the North American Equity Markets
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط