- 1. Introduction
- 2. Previous Results
- 3. Methodology
- 3.1. ASYMMETRY CALCULATIONS
- 3.2. OUTLIER DETECTION METHODS
- 3.3. DATA SMOOTHING METHODS
- 4. Data
- 5. How Big is the Volatility Asymmetry across Time and Space?
- 5.1. COMPARISON BETWEEN COUNTRIES
- 5.2. TIME DYNAMICS OF VOLATILITY ASYMMETRY
- 5.3. COMPARISON OF OUR RESULTS WITH PREVIOUS STUDIES
- 6. What Causes Volatility Asymmetry?
- 6.1. VOLATILITY ASYMMETRY AND THE LEVERAGE EFFECT
- 6.2. VOLATILITY ASYMMETRY AND RISK PREMIUM
- 6.3. VOLATILITY ASYMMETRY AND MARKET EFFICIENCY
- 6.4. VOLATILITY ASYMMETRY AND SHORT-SELLING
- 6.5. VOLATILITY ASYMMETRY AND INDIVIDUAL INVESTORS
- 6.6. VOLATILITY ASYMMETRY, MEDIA AND ANALYSTS
- 6.7. OTHER POSSIBLE FACTORS
- 7. Conclusions
Persistent link: https://www.econbiz.de/10009022138