Return and Volatility Spillovers Between Large and Small Stocks in the UK

@inproceedings{Harris2006ReturnAV,
  title={Return and Volatility Spillovers Between Large and Small Stocks in the UK},
  author={Richard D. F. Harris and Anirut Pisedtasalasai},
  year={2006}
}
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 particular, there are significant spillover effects in both returns and volatility from the portfolios of larger stocks to the portfolios of smaller stocks. For volatility, there is also evidence of limited… CONTINUE READING

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