Singh, Priyanka; Kumar, Brajesh; Pandey, Ajay - In: International Review of Financial Analysis 19 (2010) 1, pp. 55-64
This paper examines price and volatility spillovers across North American, European and Asian stock markets. The return spillover is modeled through VAR(15) in which fifteen world indices, representative of their stock market are considered. The effect of same day return in explaining the return...