Asymmetric risk spillovers and its determinants in global equity markets

This study examines the asymmetric volatility spillover effect using realized measures across 22 international stock markets. The findings suggest a high connectedness among global equity markets, with downside risk spillover significantly higher than upside risk spillover over time. Besides, Europe has a higher connectedness than the American and Asia-Pacific markets, and risk contagion is from the European and American developed markets to the Asia-Pacific regions. The study further identifies implied volatility index and market liquidity as the main positive determinants of risk spillover, which are robust across different rolling window lengths and horizons. We also find that the explanatory power is more significant during financial crises.& COPY; 2023 Elsevier B.V. All rights reserved.