Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

Hong, Yongmiao; Zhou, Guofu; Tu, Jun

doi:10.2139/ssrn.486092

Cited by 111 publications

(208 citation statements)

References 34 publications

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“…They found that international equity correlations change dramatically through time, thus the diversification benefits to global investing are not constant. Hong, Tu, and Zhou (2007) provided a model-free test for asymmetric correlations in bear markets versus bull markets. They evaluated the economic significance of incorporating asymmetries into investment decisions.…”

Section: Evidence Of Increasing Cross-market Correlations In Crisis Pmentioning

confidence: 99%

The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

Olbryś

2014

CBR

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Furthermore, the effect of increasing cross-market correlations in the crisis compared to the pre-crisis period in the context of contagion is examining. To address this issue, both standard contemporaneous cross-correlations and volatility-adjusted cross-correlations are applied. The results are consistent with the literature and confirm that tests for contagion based on cross-market correlations are problematic due to the bias introduced by changing volatility in market returns. As contagion can be confused with globalization, the globalization tests in the group of international investigated markets are employed. The results generally do not confirm a global world market integration effect, i.e. there is no reason to reject the research hypothesis of no globalization during the

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Section: Evidence Of Increasing Cross-market Correlations In Crisis Pmentioning

confidence: 99%

The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

Olbryś

2014

CBR

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“…Some recent studies show that asymmetries are present in the …rst moments of stock and bond returns; see, e.g. Ang and Chen (2001), Connolly, Stivers and Sun (2005) and Hong, Tu and Zhou (2007). Hence, our mean equation is modeled as: …”

Section: The Level Asymmetric Diagonal Vech Modelmentioning

confidence: 99%

Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application

Goeij

Marquering

2009

Journal of Empirical Finance

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“…[2][3][4][5] Since California broke out the largest power crisis in the United States after World War II in 2000 yr, the phenomenon of asymmetric correlation between the above two signals had been exposed as an ordinary behavior as in financial systems, where many studies have conducted spontaneously to explore the universal existence of asymmetric correlations of stock returns. [6][7][8][9] Of which, Ang and Chen 6 proposed a model-based method to estimate asymmetries in the correlations between stock portfolios and the US market. Hong and Zhou 7 proposed a model-free method to address whether the actual data are asymmetric in correlation.…”

Section: Introductionmentioning

confidence: 99%

“…[6][7][8][9] Of which, Ang and Chen 6 proposed a model-based method to estimate asymmetries in the correlations between stock portfolios and the US market. Hong and Zhou 7 proposed a model-free method to address whether the actual data are asymmetric in correlation.…”

Section: Introductionmentioning

confidence: 99%

A novel coefficient for detecting and quantifying asymmetry of California electricity market based on asymmetric detrended cross-correlation analysis

Wang

2016

Chaos: An Interdisciplinary Journal of Nonlinear Science

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In order to detect and quantify asymmetry of two time series, a novel cross-correlation coefficient is proposed based on recent asymmetric detrended cross-correlation analysis (A-DXA), which we called A-DXA coefficient. The A-DXA coefficient, as an important extension of DXA coefficient ρDXA, contains two directional asymmetric cross-correlated indexes, describing upwards and downwards asymmetric cross-correlations, respectively. By using the information of directional covariance function of two time series and directional variance function of each series itself instead of power-law between the covariance function and time scale, the proposed A-DXA coefficient can well detect asymmetry between the two series no matter whether the cross-correlation is significant or not. By means of the proposed A-DXA coefficient conducted over the asymmetry for California electricity market, we found that the asymmetry between the prices and loads is not significant for daily average data in 1999 yr market (before electricity crisis) but extremely significant for those in 2000 yr market (during the crisis). To further uncover the difference of asymmetry between the years 1999 and 2000, a modified H statistic (MH) and ΔMH statistic are proposed. One of the present contributions is that the high MH values calculated for hourly data exist in majority months in 2000 market. Another important conclusion is that the cross-correlation with downwards dominates over the whole 1999 yr in contrast to the cross-correlation with upwards dominates over the 2000 yr.

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Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

Cited by 111 publications

References 34 publications

The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application

A novel coefficient for detecting and quantifying asymmetry of California electricity market based on asymmetric detrended cross-correlation analysis

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