• 1. Introduction
  • 2. Previous Results
  • 3. Methodology
  • 3.1. ASYMMETRY CALCULATIONS
  • 3.2. OUTLIER DETECTION METHODS
  • 3.3. DATA SMOOTHING METHODS
  • 4. Data
  • 5. How Big is the Volatility Asymmetry across Time and Space?
  • 5.1. COMPARISON BETWEEN COUNTRIES
  • 5.2. TIME DYNAMICS OF VOLATILITY ASYMMETRY
  • 5.3. COMPARISON OF OUR RESULTS WITH PREVIOUS STUDIES
  • 6. What Causes Volatility Asymmetry?
  • 6.1. VOLATILITY ASYMMETRY AND THE LEVERAGE EFFECT
  • 6.2. VOLATILITY ASYMMETRY AND RISK PREMIUM
  • 6.3. VOLATILITY ASYMMETRY AND MARKET EFFICIENCY
  • 6.4. VOLATILITY ASYMMETRY AND SHORT-SELLING
  • 6.5. VOLATILITY ASYMMETRY AND INDIVIDUAL INVESTORS
  • 6.6. VOLATILITY ASYMMETRY, MEDIA AND ANALYSTS
  • 6.7. OTHER POSSIBLE FACTORS
  • 7. Conclusions