0441288 20240103205745.720150212235959.9 Kiel Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents 2014 28 s. E FinMaP-Working Papers 13 volatility spillovers financial markets cav_un_auth*0242028 Baruník Jozef Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0106300 Kočenda Evžen NHU-N Economics Institute Ekonomický ústav AV ČR, v. v. i. cav_un_auth*0101217 Vácha Lukáš Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://hdl.handle.net/10419/102277 GA14-24129S GA ČR CZ cav_un_auth*0306873 GA14-24129S cav_un_auth*0306873 We suggest how to quantify asymmetries in volatility spillovers due to bad and good volatility. 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. 2015 AH RVO:67985998 RVO:67985556 http://hdl.handle.net/11104/0244325 S 2014 2014 Kiel Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents