Return and volatility spillover effects in Western European stock markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10243460" target="_blank" >RIV/61989100:27510/19:10243460 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Return and volatility spillover effects in Western European stock markets
Original language description
Understanding of the linkages between different financial markets has great importance especially for portfolio managers. When considering international stock markets integration, it is important not only investigate linkages of prices, but also measure volatility spillover effects. Volatility is usually understood as a measure of risk of financial assets. This paper deal with modelling and interpreting the return and volatility spillover effect in Western European stock markets with a help of autoregressive conditional volatility models. More precisely, there will be modelled an impact of returns and volatility generated by the US and eurozone stock markets in French, German, British and Swiss stock markets in the period of 2007-2017. All the markets are approximated by their main stock indexes. Achieved results confirmed significant impact of the return and volatility spillover effect coming from the US stock market. This effect is greater after the period of the global financial crisis.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 13th International Conference on Strategic Management and its Support by Information Systems: May 21th-22th, 2019, Ostrava, Czech Republic
ISBN
978-80-248-4305-6
ISSN
2570-5776
e-ISSN
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Number of pages
9
Pages from-to
217-225
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
May 21, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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