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Have volatility spillover effects of cointegrated European stock markets increased over time?

Listed author(s):
  • Klaus Grobys
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    In this study volatility spillover effects in preselected cointegrated European stock markets are investigated. The data generating processes are estimated by applying Vector-Auto Regression (VAR) models. Thereby, the impacts of volatility spillovers are measured by a new concept being denoted here as Volatility Impulse Response Density Functions (VIRDF) being an advancement of the Volatility Impulse Response Functions (VIRF) methodology. A sample-split analysis covering daily data from 26.11.1990-05.10.2000 and 06.10.2000-28.05.2010 reveals that the volatility spillover impact from the German stock market to the Swedish and British stock markets have increased by 73.87%, respectively, 15.52%.

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    Article provided by Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante in its journal The Review of Finance and Banking.

    Volume (Year): 02 (2010)
    Issue (Month): 2 (December)
    Pages: 083-94

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    Handle: RePEc:rfb:journl:v:02:y:2010:i:2:p:083-94
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