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Volatility Transmission Patterns And Terrorist Attacks

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Author Info
Helena Chuliá Soler () (Universitat de València)
Pilar Soriano Felipe () (Universitat de València)
Francisco Climent (Universitat de València)
Hipòlit Torró (Universitat de València)

Additional information is available for the following registered author(s):

Abstract

The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo de este estudio es analizar la transmisión de volatilidad entre los mercados de EEUU y la Eurozona, considerando el efecto de los ataques terroristas del 11 de septiembre, 11 de marzo y 7 de julio. Para ello, se utiliza un modelo GARCH multivariante, teniendo en cuenta el fenómeno de la volatilidad asimétrica y el problema de la negociación no simultánea. Asimismo, también se propone un análisis gráfico de la transmisión de volatilidad a través de funciones impulso-respuesta en volatilidad asimétricas (AVIRF) y que consideran la existencia o no de crisis financieras. Los resultados sugieren que la transmisión de volatilidad es asimétrica y bidireccional y muestran que los ataques terroristas tuvieron un impacto diferente en los mercados bursátiles considerados.

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Publisher Info
Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2007-09.

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Length: 30 pages
Date of creation: Aug 2007
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Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2007-09

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Related research
Keywords: Mercados financieros internacionales Crisis financieras GARCH multivariante Transmisión de volatilidad. International financial markets Stock market crisis Multivariate GARCH Volatility spillovers.

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
F30 - International Economics - - International Finance - - - General
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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    Other versions:
  8. Jon Wongswan, 2006. "Transmission of Information across International Equity Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 19(4), pages 1157-1189. [Downloadable!] (restricted)
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  14. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
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