Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers
By Jozef Baruník, Evézen Kocenda, Lukáš Vácha. Social Science Research Network, 2015
414 citations recorded by the source corpus.
In this paper, we examine how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do not strictly dominate positive spillovers. We find that the overall intra-market connectedness of U.S. stocks increased substantially during the recent financial crisis.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/050bf44f3a4ae89a04dae9fa70843d1097a18095
How researchers see this paper
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In Economics and Econometrics
- Rangan Gupta
- David Gabauer
- Elie Bouri
- Nikolaos Antonakakis
- Ioannis Chatziantoniou
- Syed Jawad Hussain Shahzad
- Aviral Kumar Tiwari
- M. Naeem
In Finance
- David Gabauer
- Rangan Gupta
- Elie Bouri
- Ioannis Chatziantoniou
- Aviral Kumar Tiwari
- Nikolaos Antonakakis
- M. Naeem
- Zhe Peng
Citations in the corpus
- Asymmetric volatility spillover among Chinese sectors during COVID-19 (2021, methodology): “In equity markets, Baruník et al. (2016) quantify asymmetries in the volatility spillovers of US equity sectors by considering the spillovers from good volatilities to bad volatilities and vice versa.”
- Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020, background): “At the same time, alternative measures of connectedness have been provided by Baruník et al. (2016, 2017), Baruník and Křehlík (2018), and Geraci and Gnabo (2018).”
- Refined Measures of Dynamic Connectedness based on TVP-VAR (2017, background): “There have been also several attempts to extent and improve the aforementioned connectedness measures, such as the asymmetric extension by Baruńık et al. (2016).”
- Volatility spillovers across global asset classes: Evidence from time and frequency domains (2018, background): “Barunik et al. (2016) examine the connectedness of 21 US stocks from seven sectors from 2004 to 2011, finding evidence of asymmetric volatility spillovers across the US stock market.”