Integration at a cost: evidence from volatility impulse response functions
AbstractWe investigate the international information transmission between the US and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A split-sample analysis reveals that the linkages between the markets have changed substantially in the recent era (i.e. post-1995 period), suggesting increased interdependence in the volatility of the markets under scrutiny. Our findings based on a volatility impulse response analysis suggest that this interdependence combined with increased persistence in the volatility of all markets make volatility shocks perpetuate for a significantly longer period nowadays compared to the pre-1995 era.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 19 (2009)
Issue (Month): 11 ()
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