Asymmetric Effect of New York Stock Exchange (NYSE) & London Stock Exchange (LSE): Empirical Evidence

Abstract

The study examines the various asymmetric effects of the New York Stock Exchange (NYSE) and the London Stock Exchange (LSE) over a period from April 1, 2014 to March 31, 2024 by considering daily time series data. The study applies Generalised Autoregressive Conditional Heteroscedastic (GARCH) family models. Here, comparison is made between the New York Stock Exchange (NYSE) and the London Stock Exchange (LSE). The several iterations of the GARCH model effectively captured the fluctuating volatility of returns across time. However, the TARCH and EGARCH models do not show considerable asymmetry in the market returns.