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European Equity Market Return, Volatility And Liquidity Spillover Dynamics During The Eurozone Debt Crisis

Author

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  • DUMITRESCU, Sorin

    (Bucharest University of Economic Studies, Department of International Business and Economics)

Abstract

We investigate the interdependence among European Union equity markets during the Eurozone debt crisis by studying spillovers in returns, volatility and liquidity using the Diebold-Yilmaz (2009, 2011) Spillover Index. We identify the EU-wide shocks that are likely to have had the highest impact on these markets before and during the crisis episode. We then analyze the economic events that triggered the shocks and study how their unfolding might have caused spillovers from developed to emerging equity markets. We conclude that negative economic events have had in general disproportionate effects on member states, with the higher burden falling on those countries with less developed capital markets.

Suggested Citation

  • DUMITRESCU, Sorin, 2015. "European Equity Market Return, Volatility And Liquidity Spillover Dynamics During The Eurozone Debt Crisis," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(2), pages 30-50.
    • Handle: RePEc:vls:finstu:v:19:y:2015:i:2:p:30-50
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    References listed on IDEAS

    as
    1. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    2. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017. "Measuring Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
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    Cited by:

    1. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
    2. Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.

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    More about this item

    Keywords

    contagion; spillover index; market liquidity; financial crisis;
    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
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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