Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US (Journal article)

Giannellis, N./ Kanas, A./ Papadopoulos, A. P.

This paper examines the short-run dynamic relationships between stock market and real activity, within a country, for the UK and the US. The Cross Correlation Function testing procedure is applied to test for causality in mean and in variance between the stock market and the real economic sector. Besides variance causation, volatility spillover effects are examined through the multivariate specification form of the Exponential GARCH model. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country, implying stronger interdependencies in the UK rather than in the US and asymmetric behavior only in the case of the UK.
Institution and School/Department of submitter: Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών
Keywords: stock market,real activity,volatility spillovers,uk,us,unit-root,economic-growth,efficient tests,returns,transmission,inflation,causality,variance,exchange,policy
ISSN: 1452-595X
Link: <Go to ISI>://000285812100003
Appears in Collections:Άρθρα σε επιστημονικά περιοδικά ( Ανοικτά)

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