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首页> 外文期刊>The quarterly review of economics and finance >The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks
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The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks

机译：贸易强度和市场特征对不对称波动，溢出和不对称溢出的影响：国际股票市场对美国冲击的反应的证据

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摘要

This study examines the relationship between trade intensity and three stock market phenomena: asymmetric volatility, spillovers and asymmetric spillovers between the US and 74 international stock markets. The evidence is provided based on the cross-market models using the various measures from multivari-ate volatility models and the spillover indices. As stock trading gets more intensive, the market volatility responds proportionally stronger to a negative domestic shock than a positive one. Trade intensity also increases the spillovers of US shocks to the local markets. However, its impact diminishes at a higher level. Regarding other market characteristics, geographical distance, representing transaction costs or psychological /cultural obstacles, has a significant negative association with spillovers and the asymmetric spillovers. Less negative skewness, as stronger short-selling constraints, is associated with weaker spillovers. More volatile markets are generally linked to stronger asymmetries and spillovers.
机译：本研究考察了贸易强度与三种股票市场现象之间的关系：美国和74个国际股票市场之间的不对称波动，溢出和不对称溢出。提供的证据是基于跨市场模型的，使用了来自多变量波动率模型和溢出指数的各种度量。随着股票交易更加密集，市场波动对负面的国内冲击的反应要比正面的冲击要强。贸易强度也增加了美国冲击对当地市场的溢出效应。但是，它的影响会在更高的层次上减小。关于其他市场特征，代表交易成本或心理/文化障碍的地理距离与溢出效应和非对称溢出效应显着负相关。负偏斜度的降低，以及卖空限制的增加，与较弱的溢出相关。市场波动性更大通常与不对称性和溢出效应有关。

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