Constantinou, Eleni; Georgiades, Robert; Kazandjian, Avo; … - Department of Economics, University of Crete - 2005
This paper examines the issue of mean and variance causality across four equities markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers. The main findings are: (i) In contrast to the...