N. Apergis et A. Rezitis, Asymmetric cross-market volatility spillovers: Evidence from daily data onequity and foreign exchange markets, MANCH SCH, 69, 2001, pp. 81-96
We investigate cross-market volatility spillover effects across New York an
d London foreign exchange and equity markets. By using several daily data-s
ets, each relating to a different time of the day, and the generalized auto
regressive conditional heteroscedasticity approach, the empirical analysis
found volatility spillover effects (meteor shower effects) from the foreign
exchange market in London and New York to the equity market in New York an
d London, respectively. By contrast, the results did not show volatility sp
illover effects from the equity markets to the foreign exchange markets acr
oss New York and London.