Authors: Hussein Ali Al-Zeaud
Addresses: Faculty of Finance and Business Administration, Al al-Bayt University, P.O. Box 130040, Mafraq 25113, Jordan
Abstract: The paper aimed to examine the spillover effect between US and major European stock markets. This issue is carried out through DCC form of EGARCH model by Nelson (1991). Empirical evidence suggests that there is spillover effect from London market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted more strongly than volatility declines.
Keywords: spillover effects; multivariate GARCH; generalised autoregressive conditional heteroskedasticity; DCC; dynamic conditional correlation; Europe; USA; United States; EGARCH; exponential GARCH; stock markets; volatility.
American Journal of Finance and Accounting, 2014 Vol.3 No.2/3/4, pp.172 - 184
Available online: 29 Apr 2014 *Full-text access for editors Access for subscribers Purchase this article Comment on this article