Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period

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    9 Citations (Scopus)

    Abstract

    This paper studies risk transmissions in six global markets: the US, Japan, Canada, Germany, the UK, and France. The paper distinguishes between the good volatility from increases in intra-day prices and the bad volatility that arises from intra-day price declines. Our results indicate persistent and uniform asymmetries in the information transmission mechanism: the bad volatility spillovers in the system are higher than the spillovers of good volatility. These pronounced asymmetries are countercyclical because they strengthen after the interest rate declines and weaken after it rises. Finally, there are clear bursts in risk transfer and asymmetries during the times of the global financial crisis and the COVID pandemic crisis. These findings have important implications for risk forecasting, asset pricing, and portfolio diversification.

    Original languageEnglish
    Article numbere00239
    JournalJournal of Economic Asymmetries
    Volume25
    DOIs
    Publication statusPublished - Jun 2022

    Keywords

    • Asymmetric effects
    • Financial crisis
    • Spillovers semi variance
    • Volatility connectedness

    ASJC Scopus subject areas

    • General Economics,Econometrics and Finance

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