Good and bad volatility spillovers: An asymmetric connectedness

By Ahmed BenSaïda. Journal of financial markets, 2019

155 citations recorded by the source corpus.

Abstract This paper analyzes the asymmetric volatility spillovers across major financial markets. The good and bad volatility components are relative to positive and negative shocks, respectively. The proposed framework adds a great deal of information by separating the effects of good news and bad news on risk transmission, and by detecting the time variation in the asymmetric connectedness. Empirical evidence on the G7 stock market indices shows that the good and bad volatilities are transmitted with different time-varying intensities. Specifically, during the global financial crisis and the European sovereign debt crisis, the markets transmit, on average, more bad volatility than good volatility.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b5884285cc06e4d3905577f8aa8e1cbbf0bfd224

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Sang Hoon Kang
2. X. Vo
3. Walid Mensi
4. Abdel Razzaq Al Rababa'a
5. Duc Khuong Nguyen
6. Mohamed Arouri
7. K. Al-Yahyaee
8. Ahmet Sensoy

In Finance

1. Sang Hoon Kang
2. Walid Mensi
3. X. Vo
4. Abdel Razzaq Al Rababa'a
5. Duc Khuong Nguyen
6. Mohamed Arouri

Citations in the corpus

• Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021, result): “Henceforth, the asymmetric spillover evidence confirms the previous findings of Xu et al. (2019) and BenSaïda (2019) on the role of exogenous shocks in producing the asymmetric responses in stock market volatility.”