NDLI: Integration at a cost: evidence from volatility impulse response functions

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Integration at a cost: evidence from volatility impulse response functions

Content Provider	Scilit
Author	Panopoulou, Ekaterini Pantelidis, Theologos
Copyright Year	2009
Description	We investigate the international information transmission between the US and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A split-sample analysis reveals that the linkages between the markets have changed substantially in the recent era (i.e. post-1995 period), suggesting increased interdependence in the volatility of the markets under scrutiny. Our findings based on a volatility impulse response analysis suggest that this interdependence combined with increased persistence in the volatility of all markets make volatility shocks perpetuate for a significantly longer period nowadays compared to the pre-1995 era.
Related Links	http://www.unipi.gr/faculty/apano/spillover.pdf
Ending Page	933
Page Count	17
Starting Page	917
ISSN	09603107
e-ISSN	14664305
DOI	10.1080/09603100802112300
Journal	Applied Financial Economics
Issue Number	11
Volume Number	19
Language	English
Publisher	Informa UK Limited
Publisher Date	2009-05-05
Access Restriction	Open
Subject Keyword	Journal: Applied Financial Economics Finance Impulse Response Function
Content Type	Text
Resource Type	Article
Subject	Finance Economics and Econometrics

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