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dc.contributor.authorKoulakiotis, Athanasios-
dc.contributor.authorDasilas, Apostolos-
dc.contributor.authorPapasyriopoulos, Nicholas-
dc.description.abstractThis 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.en_US
dc.sourceThe Quarterly Review of Economics and Financeen_US
dc.subjectFRASCATI::Social sciences::Economics and Business::Financeen_US
dc.titleVolatility and error transmission spillover effects: Evidence from three European financial regionsen_US
dc.contributor.departmentΤμήμα Εφαρμοσμένης Πληροφορικήςen_US
Appears in Collections:Department of Applied Informatics

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