This article investigates the international information transmission between the U.S. and Greek stock markets using daily data from the Athens Stock Exchange (ASE) and the S&P 500 Index returns. It employs a bivariate exponential GARCH-t (EGARCH-t) that allows for both mean and variance...

This article performs a long-term investigation of information transmission between stock markets in Hong Kong, Europe and the US. The particular focus is on the time- and state-dependence of return spillovers and autocorrelations as well as the related potential deviations from informational...