FREQUENCY ASPECTS OF INFORMATION TRANSMISSION IN NETWORKS OF EQUITY MARKETS

Angi Roesch, Harald Schmidbauer and Erhan Uluceviz

No 7200, EcoMod2014 from EcoMod

Abstract: The dating of cyclical phenomena in economies, such as business cycles, is at the core of economic policy research. Moreover, policy decisions which are due to affect interacting economies should take into account the economies' connectedness and synchronicity. The cross-country analysis of business cycles is conceptually close to the study of "contagion", focusing on determinants of an economy's susceptibility to, respectively responsibility for, shocks or more general spillover effects in both times of crisis and non-crisis. Our analysis is based on VAR models in stock index return series and forecast error variance decomposition, resulting in return-to-volatility spillovers. This methodology allows to identify a stock market's potential to act as a news disseminator, and we investigate frequency aspects of information transmission in a network of three Western equity markets: Dow Jones Industrial Average (New York), FTSE 100 (London) and Euro Stoxx 50 (euro area). We find evidence that the range of relevant frequencies has become narrower, which may have an explanation in terms of the increasing intensity of information exchange and shrinking holding times of stocks. Furthermore, we find that the U.S.~market is in anti-phase with the European markets, while the European markets are in phase.

Keywords: USA; UK; euro area; Business cycles; Finance (search for similar items in EconPapers)
Date: 2014-07-03
New Economics Papers: this item is included in nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ecomod.net/system/files/report_frequency_as ... n_v2014-05-04_v3.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ekd:006356:7200

Access Statistics for this paper

More papers in EcoMod2014 from EcoMod Contact information at EDIRC.
Bibliographic data for series maintained by Theresa Leary ().