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HAVE VOLATILITY SPILLOVER EFFECTS OF COINTEGRATED EUROPEAN STOCK MARKETS INCREASED OVER TIME?

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Author(s): KLAUS GROBYS

Journal: Review of Finance and Banking
ISSN 2067-2713

Volume: 2;
Issue: 2;
Start page: 83;
Date: 2010;
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ABSTRACT
In this study volatility spillover effects in preselected cointegrated Europeanstock markets are investigated. The data generating processes are estimated by applyingVector-Auto Regression (VAR) models. Thereby, the impacts of volatility spillovers aremeasured by a new concept being denoted here as Volatility Impulse Response DensityFunctions (VIRDF) being an advancement of the Volatility Impulse Response Functions(VIRF) methodology. A sample-split analysis covering daily data from 26.11.1990-05.10.2000and 06.10.2000-28.05.2010 reveals that the volatility spillover impact from the German stockmarket to the Swedish and British stock markets have increased by 73.87%, respectively,15.52%.
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