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- W2844609738 abstract "This study examines the relationship between trade intensity and three stock market phenomena: asymmetric volatility, spillovers and asymmetric spillovers between the US and 74 international stock markets. The evidence is provided based on the cross-market models using the various measures from multivariate volatility models and the spillover indices. As stock trading gets more intensive, the market volatility responds proportionally stronger to a negative domestic shock than a positive one. Trade intensity also increases the spillovers of US shocks to the local markets. However, its impact diminishes at a higher level. Regarding other market characteristics, geographical distance, representing transaction costs or psychological /cultural obstacles, has a significant negative association with spillovers and the asymmetric spillovers. Less negative skewness, as stronger short-selling constraints, is associated with weaker spillovers. More volatile markets are generally linked to stronger asymmetries and spillovers." @default.
- W2844609738 created "2018-07-19" @default.
- W2844609738 creator A5030558794 @default.
- W2844609738 creator A5086602536 @default.
- W2844609738 date "2019-02-01" @default.
- W2844609738 modified "2023-09-26" @default.
- W2844609738 title "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks" @default.
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- W2844609738 doi "https://doi.org/10.1016/j.qref.2018.07.007" @default.
- W2844609738 hasPublicationYear "2019" @default.
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