英文标题：
《Asymmetric connectedness of stocks: How does bad and good volatility
  spill over the U.S. stock market?》
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作者：
Jozef Barunik and Evzen Kocenda and Lukas Vacha
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最新提交年份：
2014
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英文摘要：
  Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks. We universally reject the hypothesis of symmetric connectedness at the disaggregate level but in contrast, we document the symmetric transmission of information in an aggregated portfolio. We show that bad and good volatility is transmitted at different magnitudes in different sectors, and the asymmetries sizably change over time. While negative spillovers are often of substantial magnitudes, they do not strictly dominate positive spillovers. We find that the overall intra-market connectedness of U.S. stocks increased substantially with the increased uncertainty of stock market participants during the financial crisis.
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中文摘要：
波动溢出的不对称性与金融市场的风险估值和投资组合多元化战略高度相关。然而，研究信息传递机制的大量文献忽略了一个事实，即坏的和好的波动可能会以不同的幅度溢出。本文用两个贡献填补了这一空白。第一，我们建议如何量化由于坏波动和好波动而产生的波动溢出的不对称性。第二，利用涵盖七个行业中流动性最强的美国股票的高频数据，我们提供了股票不对称连通性的充分证据。我们普遍拒绝在分解层次上对称连接的假设，但相反，我们记录了聚合投资组合中信息的对称传输。我们发现，坏的和好的波动在不同的部门以不同的幅度传播，并且不对称性随着时间的推移发生了很大的变化。虽然负溢出通常具有相当大的规模，但它们并不能严格控制正溢出。我们发现，在金融危机期间，随着股市参与者的不确定性增加，美国股市的整体市场内连通性大幅增加。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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