Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data
AbstractThe paper examines the intraday dynamics and volatility transmission among three European stock markets: Germany, France, the UK during the financial crisis of 2007-to-2009. After estimating the structural break date using Bai-Perron (1998, 2003), we analyze the pre-crisis and crisis periods using high frequency five-minute intraday data under the VAR-EGARCH framework. The empirical findings reveal that the interdependence among European markets increased substantially during the crisis period, pointing towards shift contagion. In addition, the results show that the German stock market strongly influences stock returns and volatility in France and the UK for all periods, while the reverse hold true but is mostly irrelevant. These findings have important implications for both policymakers and investors.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-126.
Length: 14 pages
Date of creation: 25 Feb 2014
Date of revision:
Volatility spillover; Global financial crisis; High frequency data;
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- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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