EconPapers    
Economics at your fingertips  
 

Integration at a cost: Evidence from volatility impulse response functions

Ekaterini Panopoulou () and Theologos Pantelidis ()

Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth

Abstract: We investigate the international information transmission between the U.S. and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A pre-1995 and post- 1995 analysis reveals that the linkages between the markets have changed substantially in the more recent era, suggesting that national markets have become more interdependent. In the majority of the countries under scrutiny, we provide evidence of direct volatility spillovers, running mainly from the US and pointing to more rapid information transmission during the recent years. We further uncover the dynamics of the volatility spillovers between the international stock markets by means of a Volatility Impulse Response Analysis. Our findings, based on three historical shocks that have caused turbulence in the stock markets, suggest that the persistence of volatility shocks has increased substantially during the post-1995 period mainly due to increased persistence and interdependence in the volatility of all markets. As a result, volatility shocks in the international stock markets nowadays perpetuate for a significant longer period compared to the pre-1995 era.

Keywords: volatility spillovers; volatility impulse response functions; stock market; ARCH-BEKK (search for similar items in EconPapers)
JEL-codes: G15 C32 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2005-03
New Economics Papers: this item is included in nep-ets and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://repec.maynoothuniversity.ie/mayecw-files/N1540305.pdf (application/pdf)

Related works:
Journal Article: Integration at a cost: evidence from volatility impulse response functions (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n1540305

Access Statistics for this paper

More papers in Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-10-07
Handle: RePEc:may:mayecw:n1540305