Estimating the price and volatility spillover effects of the representative European capital markets

摘要：

This paper uses the multivariate EGARCH model to examine price and volatility spillover effects across the representative European capital markets with Inited Kingdom, France and Germany during the postperiod of euro introduction. The empirical results disclose the obvious positive and negative price spillover effect across the FTSE 100, (AC 40 and DAX index, but the volatility spillover effect is found to be insignificant. The volatility in each capital market has obviously clustering and asymmetric effects, expect asymmetric effect in the German capital market. Therefore, the euro introduction raises price spillover effect, but do not enhance volatility spillover effect in the European capital market.

关键词： euro introduction spillover multivariate EGARC asymmetric effect

作者: Ting-Huan Chang Yi-Sheng Shiu Cheng-Yan Siao

作者单位: Department of Finance, Mingdao University, Changhua, Chinese Taipei

会议类型: 国际会议

会议名称: 2011 IEEE International Summer Conference of Asia Pacific Business Innovation and Technology Management(2011 IEEE国际暑期亚太区业务创新与科技管理会议 APBITM2011)

会议地点: 大连

会议语种:英文

页码: 255-259

在线出版日期: 2011-07-10（万方平台首次上网日期，不代表论文的发表时间）