This paper studies the links existing between the Swiss stock market and the five largest stock markets in the world (USA, Japan, United Kingdom, Germany and France) in terms of return and volatility. We find that conditional heteroskedasticity is present in every market and also that conditional volatility responds asymmetrically to past shocks. In order to properly take account of these phenomena we estimate a series of bivariate asymmetric AR(1)-GARCH(1,1) models to measure the links existing between the Swiss stock market and the five other stock markets. The results indicate that the US market has the strongest influence on the Swiss market in terms of returns and volatility. Links with other markets in terms of returns are relatively weak. The German and British markets strongly influence the volatility of the Swiss market. On the other hand, we find that the Swiss market has a statistically significant but economically weak influence on the foreign markets.
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Paper provided by Ecole des Hautes Etudes Commerciales, Universite de Geneve- in its series Papers with number
99.1.
Length: 17 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:ehecge:99.1
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Find related papers by JEL classification: G15 - Financial Economics - - General Financial Markets - - - International Financial Markets G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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