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Integration at a cost: evidence from volatility impulse response functions

Ekaterini Panopoulou () and Theologos Pantelidis ()

Applied Financial Economics, 2009, vol. 19, issue 11, 917-933

Abstract: We investigate the international information transmission between the US and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A split-sample analysis reveals that the linkages between the markets have changed substantially in the recent era (i.e. post-1995 period), suggesting increased interdependence in the volatility of the markets under scrutiny. Our findings based on a volatility impulse response analysis suggest that this interdependence combined with increased persistence in the volatility of all markets make volatility shocks perpetuate for a significantly longer period nowadays compared to the pre-1995 era.

Date: 2009
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Working Paper: Integration at a cost: Evidence from volatility impulse response functions (2005) Downloads
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DOI: 10.1080/09603100802112300

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