Integration at a cost: evidence from volatility impulse response functions

• Autores: Ekaterini Panopoulou, Theologos Pantelidis
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 19, Nº. 10-12, 2009, págs. 917-933
• Idioma: inglés
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• Dialnet Métricas: 3 Citas
• Resumen

  • 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.