On detection of volatility spillovers in overlapping stock markets

Anssi Kohonen ()

Journal of Empirical Finance, 2013, vol. 22, issue C, 140-158

Abstract: This paper applies a recently proposed structural vector autoregressive model identification method to an established, previously unidentified theoretical model of stock market volatility spillovers. The structural model is identified and can be estimated with the method of maximum likelihood. Volatility spillovers can then be tested with the standard likelihood ratio test. This way our test, unlike the majority of the existing volatility spillover tests, has its foundations firmly in the economic theory. Our test is developed for fully overlapping stock markets. The empirical application of the paper considers stock markets of the eurozone in the years 2010–2011. Evidence of volatility spillovers is found.

Keywords: Volatility spillovers; Contagion; SVAR identification; Hypothesis testing; Stock markets; Euro debt crisis (search for similar items in EconPapers)
JEL-codes: C12 C30 D82 G14 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:22:y:2013:i:c:p:140-158

DOI: 10.1016/j.jempfin.2013.04.005

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