Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/14529
DC FieldValueLanguage
dc.contributor.authorTheodossiou, Panayiotis-
dc.contributor.authorLee, Unro-
dc.contributor.otherΘεοδοσίου, Παναγιώτης-
dc.date.accessioned2019-07-12T11:45:28Z-
dc.date.available2019-07-12T11:45:28Z-
dc.date.issued1993-
dc.identifier.citationJournal of Financial Research, 1993, vol. 16, no. 4, pp. 337-350en_US
dc.identifier.issn02702592-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/14529-
dc.description.abstractThis paper provides additional insight into the nature and degree of interdependence of stock markets of the United States, Japan, the United Kingdom, Canada, and Germany, and it reports the extent to which volatility in these markets influences expected returns. The analysis uses the multivariate GARCH‐M model. Although they are considered weak, statistically significant mean spillovers radiate from stock markets of the U.S. to the U.K., Canada, and Germany, and then from the stock markets of Japan to Germany. No relation is found between conditional market volatility and expected returns. Strong time‐varying conditional volatility exists in the return series of all markets. The own‐volatility spillovers in the U.K. and Canadian markets are insignificant, supporting the view that conditional volatility of returns in these markets is “imported” from abroad, specifically from the U.S. Significant volatility spillovers radiate from the U.S. stock market to all four stock markets, from the U.K. stock market to the Canadian stock market, and from the German stock market to the Japanese stock market. The results are robust and no changes occur in the correlation structure of returns over time.en_US
dc.language.isoenen_US
dc.relation.ispartofJournal of Financial Researchen_US
dc.rights© Wileyen_US
dc.titleMean and volatility spillovers across major national stock markets: further empirical evidenceen_US
dc.typeArticleen_US
dc.collaborationRutgers University-Camden campusen_US
dc.collaborationUniversity of the Pacificen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryUnited Statesen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1111/j.1475-6803.1993.tb00152.xen_US
dc.relation.issue4en_US
dc.relation.volume16en_US
cut.common.academicyear1995-1996en_US
dc.identifier.spage337en_US
dc.identifier.epage350en_US
item.grantfulltextnone-
item.languageiso639-1en-
item.cerifentitytypePublications-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.fulltextNo Fulltext-
crisitem.journal.journalissn1475-6803-
crisitem.journal.publisherWiley-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.parentorgFaculty of Management and Economics-
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