External Spillover Index and Its Relation with GDP per Capita on European Countries

Xenxo Vidal-Llana (), Jorge M. Uribe and Montserrat Guillen
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Xenxo Vidal-Llana: Universitat de Barcelona
Jorge M. Uribe: Universitat Oberta de Catalunya
Montserrat Guillen: Universitat de Barcelona

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 435-440 from Springer

Abstract: Abstract We propose a spillover index of external connectedness that measures the outer influences among countries from estimated return volatilities of 645 European firms. We find that Gross Domestic Product per capita is directly related to this index, as countries with lower Gross Domestic Product per capita are influenced in a greater way than they influence others, while higher Gross Domestic Product per capita countries influence others more than they receive. From a risk management perspective, firms should quantify the influence from markets located in other countries, in order to predict possible future movements.

Keywords: Financial contagion; Return spillovers; Gross Domestic Product (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_70

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DOI: 10.1007/978-3-030-99638-3_70

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