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Integration at a Cost: Evidence from Volatility Impulse Response Functions

Panopoulou, Ekaterini, Pantelidis, Theologos (2009) Integration at a Cost: Evidence from Volatility Impulse Response Functions. Applied Financial Economics, 19 (11). pp. 917-933. ISSN 0960-3107. (doi:10.1080/09603100802112300) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:34603)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL
https://doi.org/10.1080/09603100802112300

Abstract

We investigate the international information transmission between the US and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A split-sample analysis reveals that the linkages between the markets have changed substantially in the recent era (i.e. post-1995 period), suggesting increased interdependence in the volatility of the markets under scrutiny. Our findings based on a volatility impulse response analysis suggest that this interdependence combined with increased persistence in the volatility of all markets make volatility shocks perpetuate for a significantly longer period nowadays compared to the pre-1995 era.

Item Type: Article
DOI/Identification number: 10.1080/09603100802112300
Subjects: H Social Sciences
H Social Sciences > H Social Sciences (General)
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Catherine Norman
Date Deposited: 10 Jul 2013 15:21 UTC
Last Modified: 16 Nov 2021 10:11 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/34603 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
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