English, Article edition: Integration at a cost: evidence from volatility impulse response functions Ekaterini Panopoulou; Theologos Pantelidis

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Bookmark: http://trove.nla.gov.au/version/50211
Physical Description
  • article
Language
  • English

Edition details

Title
  • Integration at a cost: evidence from volatility impulse response functions
Author
  • Ekaterini Panopoulou
  • Theologos Pantelidis
Physical Description
  • article
Notes
  • We investigate the international information transmission between the US and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A split-sample analysis reveals that the linkages between the markets have changed substantially in the recent era (i.e. post-1995 period), suggesting increased interdependence in the volatility of the markets under scrutiny. Our findings based on a volatility impulse response analysis suggest that this interdependence combined with increased persistence in the volatility of all markets make volatility shocks perpetuate for a significantly longer period nowadays compared to the pre-1995 era.
  • RePEc:taf:apfiec:v:19:y:2009:i:11:p:917-933
Language
  • English
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