Explaining asymmetric volatility around the world

Based on the APARCH model and two outlier detection methods we compute reliable time series of volatility asymmetry for 49 countries with relatively few observations Results show a steady increase in the asymmetry over the years for most countries We find that economic development and market capitalization/GDP are the most Important factors that Increase volatility asymmetry We also find that higher participation of private investors and coverage by financial analysts increase the asymmetry suggesting investor sentiment as a driving force Leverage and feasibility of short selling increase volatility in falling market conditions although only to a smaller extent (C) 2010 Elsevier B V All rights reserved