rank among the first 10 in all categories and the UK is also in the top of the table. The
only emerging market with a relatively high level of asymmetry in most specifications is
Mexico.
Results show that the level of asymmetry changes in time quite remarkably. Some of
the major fluctuations of the estimated gammas are caused by extreme fluctuations in
market prices which can still not be captured by the APARCH model (despite outlier
detection). But the increase in asymmetry seems to be facilitated especially during
turbulent market situations, as can be seen during the Asian crises and the burst of
the technology bubble. Trend analysis captures an increasing volatility asymmetry for
40 of the 49 studied markets. Hence, although volatility asymmetry might be considered
a market inefficiency and thus should be fading in time, our results show an increasing
asymmetry. This gives us a first clue about what can drive asymmetry.
11.2.3 Market-wide causes for volatility asymmetry
In Talpsepp and Rieger (2009) a number of factors, that should drive volatility
asymmetry based on the findings and prepositions in the literature, have been tested;
in particular, financial leverage (Black, 1976). However, not much support for the pure
258 News and risk
Figure 11.1.The level of volatility asymmetry as reported in Talpsepp and Rieger (2009).