Dynamic linkages and interdependence between Mediterranean region EMU markets during 2007 financial crisis

Dimitrios Dimitriou (), Petros Mpitsios and Theodore Simos ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the volatility spillover effects among Mediterranean equity markets and investigates the effects of the 2007 financial crisis. German, Greek, Spanish, Italian and Portuguese markets are investigated. German market is used as a benchmark market. We employ a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model to identify the direction and magnitude of volatility spillovers. By using a sample of daily data from 1994 to 2009, we find evidence that before the global crisis begins, the largest impact in Mediterranean markets had the Germany market. In post-crisis period, Spain had the higher spillover effects between the other markets, followed by Germany, Italy, Portugal and Greece. Our results have implications for investors, policy makers, entrepreneurs and academicians.

Keywords: Spillover effects; Mediterranean markets; MGARCH; BEKK model (search for similar items in EconPapers)
JEL-codes: F21 F36 G11 (search for similar items in EconPapers)
Date: 2011-08
New Economics Papers: this item is included in nep-eec
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Published in International Research Journal of Finance and Economics 71 (2011): pp. 70-76

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