unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We … of volatility from the S&P500 index, on the one hand, and the announcement and implementation effects of unconventional … volatility of four Eurozone stock indices (CAC40, DAX30, FTSEMIB and IBEX35), we find how the increase in volatility brought …

In this paper, we use a bivariate VAR-asymmetric-BEKK-GARCH model to examine returns, asymmetric volatility spillovers … return and volatility spillovers between the GCC stock markets and global factors. Moreover, these spillovers between GCC …