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Volatility spillovers across equity markets: European evidence

Kanas, Angelos (1998) Volatility spillovers across equity markets: European evidence. Applied Financial Economics, 8 (3). pp. 245-256. ISSN 0960-3107. (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)

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. (Contact us about this Publication)

Abstract

This paper examines the issue of volatility spillovers across the three largest European stock markets, namely London, Frankfurt and Paris. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model is used to capture potential asymmetric effects of innovations on volatility. During the period from 01/01/84 to 07/12/93, reciprocal spillovers are found to exist between London and Paris, and between Paris and Frankfurt, and unidirectional spillovers from London to Frankfurt. In almost all cases, spillovers are asymmetric in the sense that bad news in one market has a greater effect on the volatility of another market than good news. An analysis for the pre-crash (01/01/84-15/09/87) and post-crash (15/11/87-07/12/93) periods suggests that more spillovers and spillovers with higher intensity exist during the latter period. These findings suggest that these markets became more interdependent during the post-crash period.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 23 May 2014 09:39 UTC
Last Modified: 29 May 2019 12:37 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41179 (The current URI for this page, for reference purposes)
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