This study investigates sign‐ and size‐related asymmetries in the
transmission of daily and weekly returns from international stock
markets into the Kuwait Stock Exchange during March 1997 –
December 2016 by applying a VAR‐EGARCH‐based framework. The
findings reveal significant and robust sign‐related asymmetries and
increasing influence of world markets in the Kuwait Stock Exchange.
Evidence on the cross‐border spillover of returns is more pronounced
when weekly returns rather than daily returns, are used.
Keywords: stock returns, spillover, transmission, stock market,
asymmetric impact, positive and negative returns