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Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global [Connections and transmission of intraday volatility among European stock markets within the global financial crisis]

Author

Listed:
  • Vítor Manuel de Sousa Gabriel

    (UDI)

  • José Ramos Pires Manso

    (NECE)

Abstract

This study analyzes the short-term connections and the transmission of intraday volatility across seven European markets, particularly Germany (DAX), Spain (IBEX 35), France (CAC 40), Greece (ATG), Ireland (ISEQ), Portugal (PSI 20) and the UK (FTSE 100), from 24/01/2000 to 30/06/2011. This study uses a vector autoregressive model, the concept of Granger causality and impulse response functions, in order to understand whether the global financial crisis changes the shortterm connections and the intraday volatility transmission process.

Suggested Citation

  • Vítor Manuel de Sousa Gabriel & José Ramos Pires Manso, 2015. "Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global [Connections and transmission of intraday volatility among European stock mark," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 25(2), pages 291-310, May-Augus.
    • Handle: RePEc:nov:artigo:v:25:y:2015:i:2:p:291-310
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    More about this item

    Keywords

    Global financial crisis; European stock markets; intraday volatility transmission; vector autoregressive;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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