Impact of the NYSE Shocks on the European Developed Capital Markets

Ramona Dumitriu and Razvan Stefanescu
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Ramona Dumitriu: Dunarea de Jos University of Galati, Romania
Razvan Stefanescu: Dunarea de Jos University of Galati, Romania

Risk in Contemporary Economy, 2016, 327-334

Abstract: This paper explores the impact of the large stock prices increases (positive shocks) and decreases (negative shocks) from the New York Stock Exchange on the returns and volatility of some European developed capital markets. We found that more than a half of shocks from these European stock markets were related to the shocks from US capital market. The results of GARCH models suggest that only the negative shocks from New York Stock Exchange increased the volatility of the European developed capital markets.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ddj:fserec:y:2016:p:327-334

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