A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility
The Case of the United States and Canada
Bibliographic Data
| ID | 19418607 |
|---|---|
| Authors | George Andrew Karolyi (The Ohio State University, corresponding author) |
| Year | 1995 |
| Volume | 13 |
| Issue | 1 |
| Pages | 11-25 |
| Publication date | 1995-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1995.10524575 |
| OpenAlex | W2131426928 |
| Language | EN |
| Citations received | 5 |
| References cited | 28 |
This study examines the short-run dynamics of returns and volatility for stocks traded on the New York and Toronto stock exchanges. The main finding is that inferences about the magnitude and persistence of return innovations that originate in either market and that transmit to the other market depend importantly on how the cross-market dynamics in volatility are modeled. Moreover, much weaker cross-market dynamics in returns and volatility prevail during later subperiods and especially for Canadian stocks with shares dually listed in New York. Implications for international asset pricing, hedging strategies, and regulatory policy are discussed
Autoregressive conditional heteroskedasticity · Econometrics · Economics · Financial economics · Implied volatility · Multivariate statistics · Stock market · Volatility smile · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Monetary Policy and Economic Impact
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| Unique citing works | 5 |
|---|---|
| Citations per year | 0,21 |
| Citation span | 2002 - 2023 (22) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 5 |