Influence of structural changes in transmission of information between stock markets: A European empirical study

Journal of Multinational Financial Management

Volumn 17, Issue 2, 2007, Pages 112-124

  Aragó Manzana, Vicent ^a   Fernández Izquierdo, Maria Ángeles ^a  

^a UNIVERSITAT JAUME I   (Spain)

Author keywords

Asymmetric bivariate GARCH; Structural changes in variance; Volatility transmission

Indexed keywords

EID: 33847043098     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mulfin.2006.05.002     Document Type: Article

References (34)

1. Adjaouté K., and Danthine J.P. European financial integration and equity returns: a theory-based assessment. In: Gaspar V., Hartmann P., and Sleijpen O. (Eds). The Transformation of the European Financial System (2003), European Central Bank, Frankfurt (Chapter 5)
2. Aggarwal R., Inclan C., and Leal R. Volatility in emerging stock markets. Journal of Financial and Quantitative Analysis 34 (1999) 33-55
3. Andreou E., and Ghysels E. Detecting multiple breaks in financial market volatility dynamics. Journal of Applied Econometrics 17 (2002) 579-600
4. Aragó V., Corredor P., and Santamaría R. Transaction costs, arbitrage and volatility spillover: a note. International Review of Economics and Finance 12 (2003) 399-415
5. Bekaert G., and Harvey C.R. Foreign speculators and emerging equity markets. Journal of Finance 55 (2000) 565-613
6. Bekaert G., Harvey C.R., and Lumsdaine R.L. Dating the integration of world equity markets. Journal of Financial Economics 65 (2002) 203-247
7. Bekaert G., Harvey C.R., and Ng A. Market integration and contagion. Journal of Business 78 (2005) 39-70
8. Berndt E.K., Hall B.H., Hall R.E., and Hausman J.A. Estimation and inference in non-linear structural models. Annals of Economic and Social Measurement 3 (1974) 653-665
9. Billio M., and Pelizzon L. Volatility and shocks spillover before and after EMU in European stock markets. Journal of Multinational Financial Management 13 (2003) 323-340
10. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
11. Busse J.A. Volatility timing in mutual funds: evidence from daily returns. The Review of Financial Studies 12 (1999) 1009-1041
12. Darrat A.F., and Benkato O.M. Interdependence and volatility spillover under market liberalization: the case of Istanbul stock exchange. Journal of Business Finance and Accounting 30 (2003) 1089-1114
13. Ederington L.H., and Lee J.H. The short-run dynamics of the price adjustment to new information. Journal of Financial and Quantitative Analysis 30 (1995) 117-134
14. Engle R.F., and Kroner K.F. Multivariate simultaneous generalized ARCH. Econometric Theory 11 (1995) 122-150
15. Engle R.F., and Ng V.K. Measuring and testing the impact of news on volatility. Journal of Finance 48 (1993) 1749-1778
16. Forbes K.J., and Rigobon R. No contagion, only interdependence: measuring stock market co-movements. Journal of Finance 57 (2002) 2223-2261
17. Hardouvelis G.A., Malliaropulos D., and Priestley R. EMU and European stock market integration. Journal of Business 79 (2006) 365-392
18. Inclan C., and Tiao G.C. Use of cumulative sums of squares for retrospective detection of changes of variance. Journal of the American Statistical Association 89 (1994) 913-923
19. Ito T., Engle R.F., and Lin W.L. Where does the meteor shower come from? The role of stochastic policy coordination. Journal of International Economics 32 (1992) 221-240
20. Kim S.W., and Rogers J.H. International stock price spillovers and market liberalization. Evidence from Korea, Japan, and the United States. Journal of Empirical Finance 2 (1995) 117-133
21. King M., Sentana E., and Wadhwani S. Volatility and links between national stock markets. Econometrica 62 (1994) 901-933
22. King M.A., and Wadhwani S. Transmission of volatility between stock markets. Review of Financial Studies 3 (1990) 5-35
23. Koutmos G. Modeling the dynamics interdependence of major European stock markets. Journal of Business Finance and Accounting 23 (1996) 975-988
24. Kroner K.F., and Ng V.K. Modeling asymmetric comovements of asset returns. Review of Financial Studies 11 (1998) 817-844
25. Kyle A.S. Continuous auctions and insider trading. Econometrica 53 (1985) 1315-1336
26. Lamoureux C.G., and Lastrapes W.D. Persistence in variance, structural change, and the GARCH model. Journal of Business and Economic Statistics 8 (1990) 225-234
27. Lin W.L., Engle R.F., and Ito T. Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies 7 (1994) 507-538
28. Login F., and Solnik B. Is correlation in international equity returns constant 1960-1990?. Journal of International Money and Finance 14 (1995) 3-26
29. Mikosch T., and Starica C. Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects. Review of Economics and Statistics 86 (2004) 378-390
30. Peersman G., and Smets F. The monetary transmission mechanism in the Euro area: more evidence from VAR analysis. In: Angeloni I., Kashyap A., and Mojon B. (Eds). Monetary Policy Transmission in the Euro area (2003), Cambridge University Press, Cambridge (Chapter 2)
31. Sansó A., Aragó V., and Carrión J.Ll. Testing for changes in the unconditional variance of financial time series. Revista de Economía Financiera 4 (2004) 32-53
32. Stoll H.R., and Whaley R.E. Stock market structure and volatility. The Review of Financial Studies 3 (1990) 37-71
33. Susmel R. Switching volatility in international equity markets. International Journal of Finance and Economics 5 (2000) 265-283
34. Taskin F., and Muradoglu G. Financial liberalisation: from segmented to integrated economies. Journal of Economics and Business 55 (2003) 529-555