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Contemporaneous Spillover Effects between the U.S. and the U.K. Equity Markets

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  • Marinela Adriana Finta
  • Bart Frijns
  • Alireza Tourani-Rad

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  • Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2017. "Contemporaneous Spillover Effects between the U.S. and the U.K. Equity Markets," The Financial Review, Eastern Finance Association, vol. 52(1), pages 145-166, February.
    • Handle: RePEc:bla:finrev:v:52:y:2017:i:1:p:145-166
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    File URL: http://hdl.handle.net/10.1111/fire.2017.52.issue-1
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    Citations

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    Cited by:

    1. Bouri, Elie & Harb, Etienne, 2022. "The size of good and bad volatility shocks does matter for spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2021. "Cross-stock market spillovers through variance risk premiums and equity flows," Journal of International Money and Finance, Elsevier, vol. 119(C).
    3. Diana Tunaru & Frank J. Fabozzi, 2021. "Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2335-2350, April.
    4. Dodd, Olga & Frijns, Bart, 2018. "NYSE closure and global equity trading: The case of cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 138-150.
    5. Saffet Akdag & Ömer İskenderoglu & Andrew Adewale Alola, 2020. "The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise," Letters in Spatial and Resource Sciences, Springer, vol. 13(1), pages 49-65, April.
    6. Waqar Haider Hashmi & Nazima Ellahi & Saima Ehsan & Ajmal Waheed, 2021. "Transmission Of Contemporaneous Shocks From The World To Emerging Islamic Equity Markets: An Application Of Geweke Measure," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 10(4), pages 44-55, December.
    7. Christian Manicaro, 2022. "The link between regional CDS spreads and equity returns: a multivariate GARCH approach," SN Business & Economics, Springer, vol. 2(2), pages 1-15, February.
    8. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
    9. Kangogo, Moses & Volkov, Vladimir, 2022. "Detecting signed spillovers in global financial markets: A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 82(C).

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