Ademmer, Martin; Horn, Wolfram; Quast, Josefine - In: International Journal of Finance & Economics 27 (2020) 4, pp. 3911-3923
We quantify the contemporaneous relationships among stock markets in the euro area, the United States, and a group of emerging economies over the period from 2008 to 2017. Exploiting the heteroskedasticity in the stock market data, we identify shocks that originated in the respective domestic...