Volatility transmission in the UK equity market

Patricia L. Chelley-Steeley; James M. Steeley

doi:10.1080/13518479600000002

Volatility transmission in the UK equity market

Patricia L. Chelley-Steeley, James M. Steeley

Accounting

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	145-160
Number of pages	16
Journal	European Journal of Finance
Volume	2
Issue number	2
DOIs	https://doi.org/10.1080/13518479600000002
Publication status	Published - 1996

Keywords

transmission of volatility
UK
stock market
return volatility
portfolio
large firms
influence
future volatility
small firms
thin trading

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10.1080/13518479600000002

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title = "Volatility transmission in the UK equity market",

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.",

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AB - 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.

KW - transmission of volatility

KW - UK

KW - stock market

KW - return volatility

KW - portfolio

KW - large firms

KW - influence

KW - future volatility

KW - small firms

KW - thin trading

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JO - European Journal of Finance

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Volatility transmission in the UK equity market

Abstract

Keywords

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