Integration at a cost: evidence from volatility impulse response functions

Authors: Panopoulou, Ekaterini¹; Pantelidis, Theologos²

Source: Applied Financial Economics, Volume 19, Number 11, June 2009 , pp. 917-933(17)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

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.

Document Type: Research article

DOI: http://dx.doi.org/10.1080/09603100802112300

Affiliations: 1: Department of Statistics and Insurance Science, University of Piraeus, Piraeus, Greece 2: Department of Economics, Finance and Accounting, National University of Ireland, Maynooth, Ireland,Department of Banking and Financial Management, University of Piraeus, Piraeus, Greece

Publication date: 2009-06-01

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