Naslov
Asymmetric spillovers on European stock markets: “good” and “bad” volatility approach

Autori
Škrinjarić, Tihana ; Lovretin Golubić, Zrinka ; Orlović, Zrinka

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of 10th INTERNATIONAL SCIENTIFIC SYMPOSIUM REGION, ENTREPRENEURSHIP, DEVELOPMENT / Leko Šimić, Mirna ; Crnković, Boris - Osijek : Ekonomski fakultet Sveučilišta Josipa Jurja Strossmayera u Osijeku, 2021, 1029-1045

Skup
10th International Scientific Symposium Region, Entrepreneurship, Development (RED 2021)

Mjesto i datum
Online, 17.06.2021

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Economic Policy Uncertainty ; “Good” and “Bad” Volatility ; Asymmetry Spillover ; Dynamic Analysis

Sažetak
Given the increased interconnection between political and economic uncertainty and financial markets, this research observes the asymmetric shock spillovers in the economic policy uncertainty (EPU) index, stock return, and stock market realized volatility on the French, German and the UK stock markets. However, the asymmetric effects of shock spillovers between variables of interest are not much explored. That is why we divide the stock market risk into “good” and “bad” volatility in observing the spillovers between the EPU series, stock return, and risk series. The contribution to the existing literature and analysis is threefold. First, the asymmetric spillover effect between EPU and the stock market is analyzed by decomposing realized volatility into “good” and “bad” volatility. Second, from a methodology point of view, most research uses GARCH models, while in this paper ; a rolling vector autoregression (VAR) model is used. And last, by applying a dynamic estimation approach and analyzing spillovers for the tested variables, the results are more credible as opposed to the static analysis. We focus on France, Germany, and the UK markets. Results indicate that some asymmetry in the spillovers is present, which varies over time, visible in the spillover asymmetry measure. The results are robust, due to the inclusion of control variables via interest rates, inflation rate, and the global European stock market return.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA