VOLATILITY TRANSMISSION PATTERNS AND TERRORIST ATTACKS

Helena Chuliá, Pilar Soriano Felipe (), Francisco Climent () and Hipolit Torro
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Pilar Soriano Felipe: Universitat de València

Working Papers. Serie EC from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo de este estudio es analizar la transmisión de volatilidad entre los mercados de EEUU y la Eurozona, considerando el efecto de los ataques terroristas del 11 de septiembre, 11 de marzo y 7 de julio. Para ello, se utiliza un modelo GARCH multivariante, teniendo en cuenta el fenómeno de la volatilidad asimétrica y el problema de la negociación no simultánea. Asimismo, también se propone un análisis gráfico de la transmisión de volatilidad a través de funciones impulso-respuesta en volatilidad asimétricas (AVIRF) y que consideran la existencia o no de crisis financieras. Los resultados sugieren que la transmisión de volatilidad es asimétrica y bidireccional y muestran que los ataques terroristas tuvieron un impacto diferente en los mercados bursátiles considerados.

Keywords: Mercados financieros internacionales; Crisis financieras; GARCH multivariante; Transmisión de volatilidad. International financial markets; Stock market crisis; Multivariate GARCH; Volatility spillovers. (search for similar items in EconPapers)
JEL-codes: C32 F30 G15 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2007-08
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Citations: View citations in EconPapers (2)

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http://www.ivie.es/downloads/docs/wpasec/wpasec-2007-09.pdf Fisrt version / Primera version, 2007 (application/pdf)

Related works:
Journal Article: Volatility transmission patterns and terrorist attacks (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasec:2007-09

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