Please use this identifier to cite or link to this item:
Title: Volatility and error transmission spillover effects: Evidence from three European financial regions
Authors: Koulakiotis, Athanasios
Dasilas, Apostolos
Papasyriopoulos, Nicholas
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Finance
Issue Date: 2009
Source: The Quarterly Review of Economics and Finance
Volume: 49
Issue: 3
First Page: 858
Last Page: 869
Abstract: This study uses the multivariate GARCH-BEKK modelling approach to examine the transmission of news (both volatility and error) between portfolios of cross-listed equities within three European financial regions, that is, the Scandinavian (Denmark, Sweden, Finland and Norway), the Germanic (Austria, Switzerland and Germany) and the French area (Brussels, France, Italy, Holland and Spain). We find that the Finnish and Danish portfolios of cross-listed equities are the main transmitters of volatility relative to the Swedish and Norwegian portfolios of cross-listed equities. On the other hand, the Swiss portfolio of cross-listed equities is the major exporter of volatility and error to the other portfolios of cross-listed equities in the Germanic stock market area. Finally, the Paris, Amsterdam and Brussels stock exchanges are the major exporters of volatility and error to the portfolios of cross-listed equities traded on the Milan and Madrid stock exchanges.
ISSN: 1062-9769
Other Identifiers: 10.1016/j.qref.2009.01.003
Appears in Collections:Department of Applied Informatics

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.