Leverage effects in a multiasset framework

摘要

This article uses a bivariate stochastic volatility model to examine the leverage effects for two stock returns. The results show that the leverage effect estimates for each stock depend on the degree to which the risk premium is affected by the information about the other stock and that different leverage effect measures may not react in the same way to a change in this information. The results suggest that an additional factor that may explain the leverage effects observed for a given stock return is the relevant information about other stocks, and also that leverage effects may be better studied in a multiasset framework than by considering the stock returns separately.