EUROPEAN EQUITY MARKET RETURN, VOLATILITY AND LIQUIDITY SPILLOVER DYNAMICS DURING THE EUROZONE DEBT CRISIS

Sorin Dumitrescu
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Sorin Dumitrescu: Bucharest University of Economic Studies, Department of International Business and Economics

Studii Financiare (Financial Studies), 2015, vol. 19, issue 2, 30-50

Abstract: We investigate the interdependence among European Union equity markets during the Eurozone debt crisis by studying spillovers in returns, volatility and liquidity using the Diebold-Yilmaz (2009, 2011) Spillover Index. We identify the EU-wide shocks that are likely to have had the highest impact on these markets before and during the crisis episode. We then analyze the economic events that triggered the shocks and study how their unfolding might have caused spillovers from developed to emerging equity markets. We conclude that negative economic events have had in general disproportionate effects on member states, with the higher burden falling on those countries with less developed capital markets.

Keywords: contagion; spillover index; market liquidity; financial crisis (search for similar items in EconPapers)
JEL-codes: C32 C53 G12 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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