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Estimating Volatility Spillovers, Dynamic Causal Linkages And International Contagion Patterns Between Developed Stock Markets: An Empirical Case Study For Usa, Canada, France And Uk

Author

Listed:
  • CRISTI SPULBAR

    (UNIVERSITY OF CRAIOVA, FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION, ROMANIA)

  • JATIN TRIVEDI

    (AMITY UNIVERSITY MUMBAI, FACULTY OF FINANCE, INDIA)

  • RAMONA BIRAU

    (FACULTY OF EDUCATION SCIENCE, LAW AND PUBLIC ADMINISTRATION AT THE CONSTANTIN BRANCUSI UNIVERSITY OF TARGU JIU, ROMANIA)

  • TENEA COSMIN ANDREI

    (UNIVERSITY OF CRAIOVA, FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION, ROMANIA)

  • ABDULLAH EJAZ

    (INSTRUCTOR AND COORDINATOR OF BUSINESS ADMINISTRATION ABM COLLEGE CALGARY, CANADA)

Abstract

This research paper examines in a comparative manner the long-term behavior of certain developed economies, such as USA, Canada, France and UK. The applied financial econometrics approach includes relevant research methods such as descriptive statistics, Unit Root Test, Hodrick-Prescott (HP) filter, Augmented Dickey-Fuller stationary test, BDS test, Granger causality test/Vector AutoRegression (VAR) model and GARCH (1, 1) model. The empirical results provide additional evidence on volatility spillovers, dynamic causal linkages and international contagion patterns between developed stock markets considering international portofolio diversification benefits. The sample financial data series are based on daily returns of selected stock markets major indices, ie during the period from January 2000 until June 2018.

Suggested Citation

  • Cristi Spulbar & Jatin Trivedi & Ramona Birau & Tenea Cosmin Andrei & Abdullah Ejaz, 2019. "Estimating Volatility Spillovers, Dynamic Causal Linkages And International Contagion Patterns Between Developed Stock Markets: An Empirical Case Study For Usa, Canada, France And Uk," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 44-62, June.
    • Handle: RePEc:cbu:jrnlec:y:2019:v:3:p:44-62
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    References listed on IDEAS

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    Cited by:

    1. Cristi Spulbar & Ramona Birau & Jatin Trivedi, 2021. "Investigating Short and Long Run Volatility Movements in the Context of COVID-19 Pandemic: A Case Study for Norwegian Stock Market," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1166-1171, December.
    2. Petre Valeriu Ninulescu, 2022. "Tax Evasion And Tax Havens - A Critical Theoretical Survey," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 261-264, February.
    3. Cristi Spulbar & Elena Loredana Minea, 2022. "Inefficient Stock Markets And Their Implications In The Context Of Extreme Financial Events: A Theoretical Framework," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 38-41, February.
    4. Cristi Spulbar & Ramona Birau & Lucian Florin Spulbar, 2021. "A Critical Survey on Efficient Market Hypothesis (EMH), Adaptive Market Hypothesis (AMH) and Fractal Markets Hypothesis (FMH) Considering Their Implication on Stock Markets Behavior," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1161-1165, December.

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