TY - JOUR
T1 - Asymmetric volatility connectedness among U.S. stock sectors
AU - Mensi, Walid
AU - Ramzi Nekhili
AU - Xuan Vinh Vo
AU - Tahir Suleman
AU - Sang Hoon Kang
N1 - Publisher Copyright:
© 2020 Elsevier Inc.
PY - 2021
Y1 - 2021
N2 - This paper examines the dynamic asymmetric volatility connectedness among ten U.S. stock sectors (Consumer Goods, Consumer Services, Financials, Health Care, Materials, Oil and Gas, Technology, Telecom, Real Estate Investment Trust (REIT), and Utilities). We use the methodology of Diebold and Yilmaz (2012, 2014, 2016) and the realized semivariances introduced by Baruník et al. (2017) to five-minute data. The results show evidence of time-varying spillovers among U.S. stock sectors which is intensified during economic, energy and geopolitical events. Moreover, the spillovers under bad volatility dominates the spillovers under good volatility, supporting evidence of asymmetry. Financials, Materials, Oil and Gas, REIT, Technology, Telecom and Utilities are net receiver of spillover under good volatility (positive semivariance). In contrast, Oil and Gas shift to net contributor of spillover under bad volatility (negative semivariance). Moreover, the connectedness network among sectors exhibits asymmetric behaviors. These results have important implications for risk management.
AB - This paper examines the dynamic asymmetric volatility connectedness among ten U.S. stock sectors (Consumer Goods, Consumer Services, Financials, Health Care, Materials, Oil and Gas, Technology, Telecom, Real Estate Investment Trust (REIT), and Utilities). We use the methodology of Diebold and Yilmaz (2012, 2014, 2016) and the realized semivariances introduced by Baruník et al. (2017) to five-minute data. The results show evidence of time-varying spillovers among U.S. stock sectors which is intensified during economic, energy and geopolitical events. Moreover, the spillovers under bad volatility dominates the spillovers under good volatility, supporting evidence of asymmetry. Financials, Materials, Oil and Gas, REIT, Technology, Telecom and Utilities are net receiver of spillover under good volatility (positive semivariance). In contrast, Oil and Gas shift to net contributor of spillover under bad volatility (negative semivariance). Moreover, the connectedness network among sectors exhibits asymmetric behaviors. These results have important implications for risk management.
KW - Asymmetric spillovers
KW - Connectedness network
KW - Realized volatility
KW - U.S. stock sectors
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U2 - 10.1016/j.najef.2020.101327
DO - 10.1016/j.najef.2020.101327
M3 - Article
SN - 1062-9408
VL - 56
JO - North American Journal of Economics and Finance
JF - North American Journal of Economics and Finance
M1 - 101327
ER -