Volatility transmission in the UK equity market

Chelley-Steeley, Patricia L. and Steeley, James M. Volatility transmission in the UK equity market. European Journal of Finance, 2 (2), pp. 145-160.

Abstract

We provide evidence of the nature of the transmission of volatility within the UK stock market. We find a distinct asymmetry in that shocks to the return volatility of a portfolio of relatively large firms influence the future volatility of a portfolio of relatively small firms, but find that the reverse is not the case. The characteristics of the volatility process suggest that this result is not caused by thin trading.

Publication DOI: https://doi.org/10.1080/13518479600000002
Divisions: Aston Business School > Accounting
Aston Business School > Accounting Research Group
Uncontrolled Keywords: transmission of volatility,UK,stock market,return volatility,portfolio,large firms,influence,future volatility,small firms,thin trading

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