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This paper investigates the asymmetries in volatility connectedness among the G7 stock markets.We provide ample evidence for asymmetric volatility connectedness based on daily realized semi-volatility indices obtained from intra-day data.We find that the impact of bad volatility strictly dominates that of good volatility in generating connectedness across financial markets.The global financial crisis, the European debt crisis, and the COVID-19 pandemic have witnessed the most influential episodes of volatility connectedness.We also discuss that the effect of the US stock market on other countries has been caused primarily by bad volatility.
Suk et al. (Mon,) studied this question.
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