Trading with Asymmetric Volatility Spillovers
研究基于大小公司间波动溢出效应的交易策略盈利性，发现小公司波动冲击对大公司重要，而大公司仅负向冲击影响小公司；利用预期收益与波动反向关系设计策略，多数策略在扣除交易成本后仍能获利，尤其在极端消息后表现突出，对风险与投资组合管理有启示。
Abstract: We study the profitability of trading strategies based on volatility spillovers between large and small firms. By using the Volatility Impulse‐Response Function of Lin (1997) and its extensions, we detect that any volatility shock coming from small companies is important to large companies, but the reverse is only true for negative shocks coming from large firms. To exploit these asymmetric patterns in volatility, different trading rules are designed based on the inverse relationship existing between expected return and volatility. We find that most strategies generate excess after‐transaction cost profits, especially after very bad news and very good news coming from large or small firm markets. These results are of special interest because of their implications for risk and portfolio management.