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https://hdl.handle.net/20.500.14279/2108
Τίτλος: | International stock markets interactions and conditional correlations | Συγγραφείς: | Savva, Christos S. | Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Asymmetric volatility;Multivariate GARCH models;News impact surfaces;Asymmetric volatility;Multivariate GARCH models;News impact surfaces | Ημερομηνία Έκδοσης: | Οκτ-2009 | Πηγή: | Journal of International Financial Markets, Institutions and Money, 2009, vol. 19, no. 4, pp. 645-661 | Volume: | 19 | Issue: | 4 | Start page: | 645 | End page: | 661 | Περιοδικό: | Journal of International Financial Markets, Institutions and Money | Περίληψη: | This paper investigates the transmission of price and volatility spillovers across the US and European stock markets in bivariate combinations. The framework used encompasses the most popular multivariate GARCH models, with News Impact Surfaces employed for interpretation. By using synchronous data the dynamic conditional correlation model (Engle, R., 2002. Dynamic conditional correlation: a simple class of multivariate GARCH models. Journal of Business and Economic Statistics 20, 339-350) is found to best capture the relationships for over half of the bivariate combinations of markets. Other findings include volatility spillovers from the US to European markets, and a reverse spillover. In addition, the magnitude of the correlation between markets is higher not only for negative shocks in both markets, but also when a combination of shocks of opposite signs occurs. | URI: | https://hdl.handle.net/20.500.14279/2108 | ISSN: | 10424431 | DOI: | 10.1016/j.intfin.2008.11.001 | Rights: | © Elsevier | Type: | Article | Affiliation: | University of Cyprus | Affiliation: | University of Cyprus |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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