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Volatility and error transmission spillover effects: Evidence from three European financial regions

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  • Koulakiotis, Athanasios
  • Dasilas, Apostolos
  • Papasyriopoulos, Nicholas
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    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.

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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 49 (2009)
    Issue (Month): 3 (August)
    Pages: 858-869

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    Handle: RePEc:eee:quaeco:v:49:y:2009:i:3:p:858-869

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    Web page: http://www.elsevier.com/locate/inca/620167

    Related research

    Keywords: Volatility transmission GARCH models Spillover effects Cross-listings;

    References

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    Cited by:
    1. Weber, Enzo, 2013. "Simultaneous stochastic volatility transmission across American equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 53-60.
    2. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, School of Economics and Management, University of Aarhus.

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