Asymmetric Ambiguity Spillover Among International Equity Markets

We investigate the ambiguity spillover among international equity markets. We follow Brennan and Izhakian (2018) and develop monthly ambiguity measures using high-frequency trading data of equity indices. The ambiguity spillover demonstrates noticeable asymmetry. The US equity market is the largest ambiguity transmitter to the other markets, while the French equity market is the largest recipient. China has small ambiguity connectedness with the remaining markets. The risk, however, has similarly symmetric spillover effects among different markets