Asymmetric and threshold effects on comovements among Germanic cross-listed equities

作者：Koulakiotis Athanasios^*; Kartalis Nikos; Lyroudi Katerina; Papasyriopoulos Nicholas

来源：International Review of Economics & Finance, 2012, 24: 327-342.

DOI：10.1016/j.iref.2011.11.001

• Asymmetry
• Thresholds
• GARCH model
• Futures contracts
• Comovements

This study examines a combination of comovement and integration effects on volatility of home cross-listed equities in three Germanic markets (Frankfurt, Zurich and Vienna). Specifically, we investigate the impact of lagged stock prices and lagged futures contracts on asymmetric (bad and good news) and threshold effects (small and large news).
Our results indicated that stock price volatility is influenced more by bad and/or good news than by large and/or small news. Specifically, the threshold effects are not statistically significant, while the asymmetric effects are strong and significant statistically.

• 出版日期2012-10