Spillover effect: A study for major capital markets and Romania capital market

Cristina Belciuganu

No 29, Advances in Economic and Financial Research - DOFIN Working Paper Series from Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB

Abstract: In this paper we focus our attention on the tail risk and how different capital markets are influencing each other. Previous studies have detected return and volatility across countries during crises periods. Using the well-know Value at Risk (VaR) measure for heavy tailed financial returns, our objective is to detect if the information for a negative shock in a foreign market helps the forecast of the behavior of another market. We calculate 1 day, 95% and 99% Value at Risk for major US stock indices- S&P 500, NASDAQ 100, DJ INDUSTRIALS, major European stock indices – CAC 40, FTSE100, DAX30 and for Romanian stock index-BET. The VaR for each index is calculated the following techniques: Historical Simulation, Variance Approach and Extreme Value Theory. Spillover effects being the influence of one market on others, is examined using the Granger causality, for daily changes of the VAR series.

Keywords: spillover effects; capital market (search for similar items in EconPapers)
Date: 2009-10
New Economics Papers: this item is included in nep-fmk, nep-rmg and nep-tra
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http://www.dofin.ase.ro/Working%20papers/Belciugan ... ina.dissertation.pdf First version, 2008 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:cab:wpaefr:29

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