Shock, Return and Volatility Spillovers among The US, Japan and European Monetary Union Stock Markets

Authors

  • Jaghoubi Salma

Keywords:

var-garch models; stock markets; volatility spillovers

Abstract

Abstract not found

How to Cite

Shock, Return and Volatility Spillovers among The US, Japan and European Monetary Union Stock Markets. (2015). Global Journal of Management and Business Research, 15(45), 21-27. https://journalofbusiness.org/index.php/GJMBR/article/view/

References

Reena Aggarwal, Carla Inclan, Ricardo Leal (1999) Volatility in Emerging Stock Markets. 34(1), 33. https://doi.org/10.2307/2676245

Söhnke Bartram, Stephen Taylor, Yaw-Huei Wang (2007) The Euro and European Financial Market Dependence. https://doi.org/10.2139/ssrn.673641

Geert Bekaert, Campbell Harvey (1995) Time‐Varying World Market Integration. 50(2), 403-444. https://doi.org/10.1111/j.1540-6261.1995.tb04790.x

Geert Bekaert, Campbell Harvey (1997) Emerging equity market volatility. 43(1), 29-77. https://doi.org/10.1016/s0304-405x(96)00889-6

A. Boubaker, S. Jaghoubi (2011) Detecting financial markets contagion using copula functions. 6(6), 443-449.

A. Boubaker, S. Jaghoubi (2012) The Greek financial crisis, extreme co-movements and contagion effects in the EMU: A copula approach. 2(1).

A. Boubaker, S. Jaghoubi (2014) Greek Crisis, Stock Market Volatility and Exchange Rates in the European Monetary Union: A Var-Garch-Copula Model. 14.

Yin-Wong Cheung, Frank Westermann (2001) Equity Price Dynamics Before and After the Introduction of the Euro: A Note. 5(2), 113-128. https://doi.org/10.17578/5-2-2

Cheol Eun, Sangdal Shim (1989) International Transmission of Stock Market Movements. 24(2), 241. https://doi.org/10.2307/2330774

Bradley Ewing, Farooq Malik (2005) Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance. 29(10), 2655-2673. https://doi.org/10.1016/j.jbankfin.2004.10.002

Yasushi Hamao, Ronald Masulis, Victor Ng (1990) Correlations in Price Changes and Volatility across International Stock Markets. 3(2), 281-307. https://doi.org/10.1093/rfs/3.2.281

Shawkat Hammoudeh, Huimin Li (2008) Sudden changes in volatility in emerging markets: The case of Gulf Arab stock markets. 17(1), 47-63. https://doi.org/10.1016/j.irfa.2005.01.002

Shawkat Hammoudeh, Yuan Yuan, Michael McAleer (2009) Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets. 49(3), 829-842. https://doi.org/10.1016/j.qref.2009.04.004

Mervyn King, Enrique Sentana, Sushil Wadhwani (1994) Volatility and Links between National Stock Markets. 62(4), 901. https://doi.org/10.2307/2951737

J. Lee (2009) Volatility spillover effects amongsix Asian countries. 16(5), 501-508. https://doi.org/10.1080/13504850601018700

Shiqing Ling, Michael McAleer (2003) ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. 19(02). https://doi.org/10.1017/s0266466603192092

Y. Liu, Ming-Shiun Pan (1997) Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets. 1(1), 47-62. https://doi.org/10.17578/1-1-3

Tatsuyoshi Miyakoshi (2003) Spillovers of stock return volatility to Asian equity markets from Japan and the US. 13(4), 383-399. https://doi.org/10.1016/s1042-4431(03)00015-5

Angela Ng (2000) Volatility spillover effects from Japan and the US to the Pacific Basin. 19(2), 207-233. https://doi.org/10.1016/s0261-5606(00)00006-1

L. Rachmand, R. Susmel (1998) Volatility and cross correlation across major stock markets. 5(4), 397-416. https://doi.org/10.1016/s0927-5398(98)00003-6

C. Savva, D. Osborn, L. Gill (2004) Working Paper: University of Manchester.

T. Syriopoulos (2007) Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?. 16(1), 46-60.

B. Veiga, M. McAleer (2003) Multivariate volatility and spillover effects in financial Markets. http://www.iemss.org/iemss2004/pdf/risk/veigmult.pdf

CH Wang, al (2015) Do short-term international capital inflows drive China's asset markets?. 60, 115-124. https://doi.org/10.1016/j.qref.2015.10.006

Steven Wang, Michael Firth (2004) Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world. 14(3), 235-254. https://doi.org/10.1016/j.intfin.2003.07.002

Praphan Wongbangpo, Subhash Sharma (2002) Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. 13(1), 27-51. https://doi.org/10.1016/s1049-0078(01)00111-7

Shock, Return and Volatility Spillovers among The US, Japan and European Monetary Union Stock Markets

Published

2015-10-09

How to Cite

Shock, Return and Volatility Spillovers among The US, Japan and European Monetary Union Stock Markets. (2015). Global Journal of Management and Business Research, 15(45), 21-27. https://journalofbusiness.org/index.php/GJMBR/article/view/