Have volatility spillover effects of cointegrated European stock markets increased over time?
Have volatility spillover effects of cointegrated European stock markets increased over time?
Author(s): Klaus GrobysSubject(s): Economy, Financial Markets
Published by: EDITURA ASE
Keywords: volatility spillovers; volatility impulse response functions; stock market; GARCH; BEKK;
Summary/Abstract: In this study volatility spillover effects in preselected cointegrated European stock markets are investigated. The data generating processes are estimated by applying Vector-Auto Regression (VAR) models. Thereby, the impacts of volatility spillovers are measured by a new concept being denoted here as Volatility Impulse Response Density Functions (VIRDF) being an advancement of the Volatility Impulse Response Functions (VIRF) methodology. A sample-split analysis covering daily data from 26.11.1990-05.10.2000 and 06.10.2000-28.05.2010 reveals that the volatility spillover impact from the German stock market to the Swedish and British stock markets have increased by 73.87%, respectively, 15.52%.
Journal: The Review of Finance and Banking
- Issue Year: 2/2010
- Issue No: 2
- Page Range: 83-94
- Page Count: 12
- Language: English