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External Spillover Index and Its Relation with GDP per Capita on European Countries

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Xenxo Vidal-Llana

    (Universitat de Barcelona)

  • Jorge M. Uribe

    (Universitat Oberta de Catalunya)

  • Montserrat Guillen

    (Universitat de Barcelona)

Abstract

We propose a spillover index of external connectedness that measures the outer influences among countries from estimated return volatilities of 645 European firms. We find that Gross Domestic Product per capita is directly related to this index, as countries with lower Gross Domestic Product per capita are influenced in a greater way than they influence others, while higher Gross Domestic Product per capita countries influence others more than they receive. From a risk management perspective, firms should quantify the influence from markets located in other countries, in order to predict possible future movements.

Suggested Citation

  • Xenxo Vidal-Llana & Jorge M. Uribe & Montserrat Guillen, 2022. "External Spillover Index and Its Relation with GDP per Capita on European Countries," Springer Books, in: Marco Corazza & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 435-440, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-99638-3_70
    DOI: 10.1007/978-3-030-99638-3_70
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