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Integration at a cost: evidence from volatility impulse response functions

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  • Ekaterini Panopoulou
  • Theologos Pantelidis

Abstract

We 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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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802112300
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 19 (2009)
Issue (Month): 11 ()
Pages: 917-933

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Handle: RePEc:taf:apfiec:v:19:y:2009:i:11:p:917-933

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Cited by:
  1. Jin, Xiaoye & Xiaowen Lin, Sharon & Tamvakis, Michael, 2012. "Volatility transmission and volatility impulse response functions in crude oil markets," Energy Economics, Elsevier, vol. 34(6), pages 2125-2134.

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