The Impact of Trade Intensity and Market Characteristics on Asymmetric Volatility, Spillovers and Asymmetric Spillovers: Evidence from the Response of International Stock Markets to US Shocks

Mohammad Khaleq Newaz, Jin Suk Park

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

This study examines the relationship between trade intensity and three stock market phenomena: asymmetric volatility, spillovers and asymmetric spillovers between the US and 74 international stock markets. The evidence is provided based on the cross-market models using the various measures from multivariate volatility models and the spillover indices. As stock trading gets more intensive, the market volatility responds proportionally stronger to a negative domestic shock than a positive one. Trade intensity also increases the spillovers of US shocks to the local markets. However, its impact diminishes at a higher level. Regarding other market characteristics, geographical distance, representing transaction costs or psychological /cultural obstacles, has a significant negative association with spillovers and the asymmetric spillovers. Less negative skewness, as stronger short-selling constraints, is associated with weaker spillovers. More volatile markets are generally linked to stronger asymmetries and spillovers.
Original languageEnglish
Pages (from-to)79-94
Number of pages16
JournalQuarterly Review of Economics and Finance
Volume71
Early online date7 Jul 2018
DOIs
Publication statusPublished - Feb 2019

Bibliographical note

NOTICE: this is the author’s version of a work that was accepted for publication in Quarterly Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Quarterly Review of Economics and Finance, 2018 DOI: 10.1016/j.qref.2018.07.007

© 2018, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

  • Asymmetric spillovers
  • Asymmetric volatility
  • Spillovers
  • Trade intensity

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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