Volatility transmission in the UK equity market

Patricia L. Chelley-Steeley, James M. Steeley

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)145-160
Number of pages16
JournalEuropean Journal of Finance
Volume2
Issue number2
DOIs
Publication statusPublished - 1996

Keywords

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

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