Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US

Authors

  • Nikolaos Giannellis University of Ioannina, Department of Economics, Greece
  • Angelos Kanas University of Piraeus, Department of Economics, Greece
  • Athanasios P. Papadopoulos University of Crete, Department of Economics, Greece

Keywords:

Stock market, Real activity, Volatility spillovers, UK, US

Abstract

This paper examines the short-run dynamic relationships between stock market and real activity, within a country, for the UK and the US. The Cross Correlation Function testing procedure is applied to test for causality in mean and in variance between the stock market and the real economic sector. Besides variance causation, volatility spillover effects are examined through the multivariate specification form of the Exponential GARCH model. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country, implying stronger interdependencies in the UK rather than in the US and asymmetric behavior only in the case of the UK.

Key words: Stock market, Real activity, Volatility spillovers, UK, US.
JEL: C32, E44, G12.

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Published

2010-10-10

How to Cite

Giannellis, N., Kanas, A., & Papadopoulos, A. P. (2010). Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US. Panoeconomicus, 57(4), 429–445. Retrieved from https://panoeconomicus.org/index.php/jorunal/article/view/199

Issue

Vol. 57 No. 4 (2010)

Section

Original scientific paper