Volatility spillovers across equity markets: European evidence
This paper examines the issue of volatility spillovers across the three largest European stock markets, namely London, Frankfurt and Paris. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model is used to capture potential asymmetric effects of innovations on volatility. During the period from 01/01/84 to 07/12/93, reciprocal spillovers are found to exist between London and Paris, and between Paris and Frankfurt, and unidirectional spillovers from London to Frankfurt. In almost all cases, spillovers are asymmetric in the sense that bad news in one market has a greater effect on the volatility of another market than good news. An analysis for the pre-crash (01/01/84 - 15/09/87) and post-crash (15/11/87 - 07/12/93) periods suggests that more spillovers and spillovers with higher intensity exist during the latter period. These findings suggest that these markets became more interdependent during the post-crash period.
Year of publication: |
1998
|
---|---|
Authors: | Kanas, Angelos |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 8.1998, 3, p. 245-256
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Long-run benefits from international equity diversification: a note on the Canadian evidence
Kanas, Angelos, (1998)
-
IMPLIED VOLATILITY AND THE RISK‐RETURN RELATION: A NOTE
Kanas, Angelos, (2013)
-
BANK DIVIDENDS, REAL GDP GROWTH AND DEFAULT RISK
Kanas, Angelos, (2014)
- More ...