Jørgensen, Kjell; Valseth, Siri - Universitetet <Stavanger> / School of Business … - 2011
This paper introduces a framework that directly quanti
es information spillovers be-tween
nancial markets. Information spillovers occur when market speci
c information,de
ned as information that directly affects the return or volatility in one market only,indirectly affects returns or...
