Spillover effects between US and major European stock markets

Hussein Ali Al-Zeaud

American Journal of Finance and Accounting, 2014, vol. 3, issue 2/3/4, 172-184

Abstract: The paper aimed to examine the spillover effect between US and major European stock markets. This issue is carried out through DCC form of EGARCH model by Nelson (1991). Empirical evidence suggests that there is spillover effect from London market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted more strongly than volatility declines.

Keywords: spillover effects; multivariate GARCH; generalised autoregressive conditional heteroskedasticity; DCC; dynamic conditional correlation; Europe; USA; United States; EGARCH; exponential GARCH; stock markets; volatility. (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:ids:amerfa:v:3:y:2014:i:2/3/4:p:172-184

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