ESTIMATING VOLATILITY SPILLOVERS, DYNAMIC CAUSAL LINKAGES AND INTERNATIONAL CONTAGION PATTERNS BETWEEN DEVELOPED STOCK MARKETS: AN EMPIRICAL CASE STUDY FOR USA, CANADA, FRANCE AND UK
Cristi Spulbar (cristi_spulbar@yahoo.com),
Jatin Trivedi,
Ramona Birau,
Tenea Cosmin Andrei and
Abdullah Ejaz
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Ramona Birau: FACULTY OF EDUCATION SCIENCE, LAW AND PUBLIC ADMINISTRATION AT THE CONSTANTIN BRANCUSI UNIVERSITY OF TARGU JIU, ROMANIA
Tenea Cosmin Andrei: UNIVERSITY OF CRAIOVA, FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION, ROMANIA
Abdullah Ejaz: INSTRUCTOR AND COORDINATOR OF BUSINESS ADMINISTRATION ABM COLLEGE CALGARY, CANADA
Annals - Economy Series, 2019, vol. 3, 44-62
Abstract:
This research paper examines in a comparative manner the long-term behavior of certain developed economies, such as USA, Canada, France and UK. The applied financial econometrics approach includes relevant research methods such as descriptive statistics, Unit Root Test, Hodrick-Prescott (HP) filter, Augmented Dickey-Fuller stationary test, BDS test, Granger causality test/Vector AutoRegression (VAR) model and GARCH (1, 1) model. The empirical results provide additional evidence on volatility spillovers, dynamic causal linkages and international contagion patterns between developed stock markets considering international portofolio diversification benefits. The sample financial data series are based on daily returns of selected stock markets major indices, ie during the period from January 2000 until June 2018.
Keywords: volatility; international portofolio diversification; causal transmission patterns; developed stock markets; global financial crisis (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2019:v:3:p:44-62
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