Return and volatility spillover effects in Western European stock markets

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Return and volatility spillover effects in Western European stock markets

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Return and volatility spillover effects in Western European stock markets

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Výzkumný tým pro modelování ekonomických a finančních procesů na VŠB-TU Ostrava</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

9

Strana od-do

217-225

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

21. 5. 2019

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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