Article ID Journal Published Year Pages File Type
5083860 International Review of Economics & Finance 2013 16 Pages PDF
Abstract
► The index return-generating process is sensitive to the negative returns of U.S. funds. ► Volatility transmission in the broad market and in the financial and technology sectors is bi-directional. ► Spillovers occur only from the U.S. to Canada in more cyclical industries. ► Significant asymmetric volatility is present.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Volatility and return spillovers in Canadian and U.S. industry ETFs
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