HOURLY VOLATILITY SPILLOVERS BETWEEN INTERNATIONAL EQUITY MARKETS

This paper examines the timing of mean and volatility spillovers betwe en New York and London equity markets. Using an ARCH model it is found that the evidence of volatility spillovers between these markets is m inimal and have a duration which lasts only an hour or so. The most si gnificant effects surround the movement of share prices around the New York opening, but these results are not strong. Several new ARCH mode ls are estimated including an asymmetric or 'leverage' model and a non -linear model which allows big shocks to have a different impact from small shocks. (JEL G15).