Harris, Richard D. F.; Pisedtasalasai, Anirut - In: Journal of Business Finance & Accounting 33 (2006-11) 9-10, pp. 1556-1571
This paper investigates return and volatility spillover effects between the FTSE 100, FTSE 250 and FTSE Small Cap equity indices using the multivariate GARCH framework. We find that return and volatility transmission mechanisms between large and small stocks in the UK are asymmetric. In...
