Multiple asymmetries in index stock returns from boom/bust and stable/volatile markets states- an empirical study of US and UK stock markets
This article tries to answer the question: is the response of current returns to past returns asymmetric when the returns follow an autoregressive, spillover GARCH model? Our empirical findings are consistent with the following notions. First, both US and UK markets appear to overreact to the drastic events in the 1990s. Second, the impacts of the 1-week-ahead foreign market returns were marked during the 1980s, especially when the home market returns were both volatile and negative. In contrast, the impacts were insignificant during the 1990s. Third, in the 1990s, the UK (US) investors' behaviour during the bust appears to be consistent (inconsistent) with the leverage effects.
Year of publication: |
2009
|
---|---|
Authors: | Li, Ming-Yuan Leon |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 2, p. 183-191
|
Publisher: |
Taylor & Francis Journals |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Li, Ming-Yuan Leon, (2009)
-
Li, Ming-Yuan Leon, (2010)
-
Do large firms overly use stock-based incentive compensation?
Li, Ming-Yuan Leon, (2011)
- More ...