Asymmetry in spillover effects: Evidence for international stock index futures markets |
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| Affiliation: | 1. Lord Ashcroft International Business School, Anglia Ruskin University, UK;2. Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, UK;3. Department of Accountancy, Finance and Economics, Huddersfield Business School, University of Huddersfield, Queensgate, HD1 3DH, UK;1. University of Barcelona, Barcelona, Spain;2. Universidad del Valle, Cali, Colombia;1. Vienna University of Economics and Business, Department of Economics, Institute for International Economics, Welthandelsplatz 1, 1020 Vienna, Austria;2. University of Portsmouth, Economics and Finance Subject Group, Portsmouth Business School, Portland Street, Richmond Building, Portsmouth PO1 3DE, United Kingdom;3. Technological Educational Institute of Crete, Department of Accounting and Finance, 71004 Crete, Greece;4. Hellenic Open University, School of Social Sciences, Greece |
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| Abstract: | The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets pairs with non-overlapping trading hours. The asymmetric causality test is employed to daily stock index futures returns and volatilities for the period from 03 October 2010 to 03 October 2014. The paper sheds light on the relatively little explored concept of asymmetry in return and volatility spillovers across markets, providing novel evidence on stabilizing and destabilizing spillover effects. |
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