Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global [Connections and transmission of intraday volatility among European stock markets within the global financial crisis]

Vítor Manuel de Sousa Gabriel and Jose Ramos Manso
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Vítor Manuel de Sousa Gabriel: UDI

Nova Economia, 2015, vol. 25, issue 2, 291-310

Abstract: This study analyzes the short-term connections and the transmission of intraday volatility across seven European markets, particularly Germany (DAX), Spain (IBEX 35), France (CAC 40), Greece (ATG), Ireland (ISEQ), Portugal (PSI 20) and the UK (FTSE 100), from 24/01/2000 to 30/06/2011. This study uses a vector autoregressive model, the concept of Granger causality and impulse response functions, in order to understand whether the global financial crisis changes the shortterm connections and the intraday volatility transmission process.

Keywords: Global financial crisis; European stock markets; intraday volatility transmission; vector autoregressive (search for similar items in EconPapers)
JEL-codes: C32 C58 G15 (search for similar items in EconPapers)
Date: 2015
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