Integration at a cost: evidence from volatility impulse response functions
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.
Year of publication: |
2009
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Authors: | Panopoulou, Ekaterini ; Pantelidis, Theologos |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 19.2009, 11, p. 917-933
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Publisher: |
Taylor & Francis Journals |
Saved in:
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