PRICE AND VOLATILITY SPILLOVERS IN SCANDINAVIAN STOCK MARKETS

Authors
BOOTH GG MARTIKAINEN T TSE Y
Citation
Gg. Booth et al., PRICE AND VOLATILITY SPILLOVERS IN SCANDINAVIAN STOCK MARKETS, Journal of banking & finance, 21(6), 1997, pp. 811-823
Citations number
35
Categorie Soggetti
Business Finance",Economics
Journal title
Journal of banking & finance → ACNP
ISSN journal
03784266
Volume
21
Issue
6
Year of publication
1997
Pages
811 - 823
Database
ISI
SICI code
0378-4266(1997)21:6<811:PAVSIS>2.0.ZU;2-2
Abstract
New evidence is provided on price and volatility spillovers among the Danish, Norwegian, Swedish, and Finnish stock markets. The impact of g ood news (market advances) and bad news (market retreats) is described by a multivariate Exponential Generalized Autoregressive Conditionall y Heteroskedastic (EGARCH) model. Volatility transmission is asymmetri c, spillovers being more pronounced for bad than good news. Significan t price and volatility spillovers exist but they are few in number. (C ) 1997 Elsevier Science B.V.