Spillover effect: A study for major capital markets and Romania capital market
AbstractIn this paper we focus our attention on the tail risk and how different capital markets are influencing each other. Previous studies have detected return and volatility across countries during crises periods. Using the well-know Value at Risk (VaR) measure for heavy tailed financial returns, our objective is to detect if the information for a negative shock in a foreign market helps the forecast of the behavior of another market. We calculate 1 day, 95% and 99% Value at Risk for major US stock indices- S&P 500, NASDAQ 100, DJ INDUSTRIALS, major European stock indices – CAC 40, FTSE100, DAX30 and for Romanian stock index-BET. The VaR for each index is calculated the following techniques: Historical Simulation, Variance Approach and Extreme Value Theory. Spillover effects being the influence of one market on others, is examined using the Granger causality, for daily changes of the VAR series.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB in its series Advances in Economic and Financial Research - DOFIN Working Paper Series with number 29.
Date of creation: Oct 2009
Date of revision:
spillover effects; capital market;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-21 (All new papers)
- NEP-FMK-2009-11-21 (Financial Markets)
- NEP-RMG-2009-11-21 (Risk Management)
- NEP-TRA-2009-11-21 (Transition Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
- Engle III, Robert F., 2003.
"Risk and Volatility: Econometric Models and Financial Practice,"
Nobel Prize in Economics documents
2003-4, Nobel Prize Committee.
- Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ciprian Necula) The email address of this maintainer does not seem to be valid anymore. Please ask Ciprian Necula to update the entry or send us the correct address.
If references are entirely missing, you can add them using this form.