<abstract xmlns="http://www.w3.org/1999/xhtml"><p> This paper investigates the linkages among equity markets of four European countries (Germany, France, Italy, UK) and the USA in terms of market returns and transmission of volatilities. We use daily exchange traded funds (ETF) data from January 2002 to March 2016 and utilize both a Multivariate Autoregressive Moving Average model (MARMA) and a Generalized Autoregressive Conditional Heteroskedasticity model (GARCH). We divided the data into three separate periods: before the 2007-08 financial crisis, during the crisis and after the crisis. The results show the existence of significant co-movement of returns in all three selected periods although some important differences before and after the financial crisis are noted. Findings also include marked increases in integration of the markets and thus diminishing diversification opportunities for investors. Volatilities appear to react strongly to market movements and their shocks fade away slowly in all five countries during the crisis period. There is also strong evidence of volatility spillovers particularly during and after the crisis periods.</p></abstract>

This paper investigates the linkages among equity markets of four European countries (Germany, France, Italy, UK) and the USA in terms of market returns and transmission of volatilities. We use daily exchange traded funds (ETF) data from January 2002 to March 2016 and utilize both a Multivariate Autoregressive Moving Average model (MARMA) and a Generalized Autoregressive Conditional Heteroskedasticity model (GARCH). We divided the data into three separate periods: before the 2007-08 financial crisis, during the crisis and after the crisis. The results show the existence of significant co-movement of returns in all three selected periods although some important differences before and after the financial crisis are noted. Findings also include marked increases in integration of the markets and thus diminishing diversification opportunities for investors. Volatilities appear to react strongly to market movements and their shocks fade away slowly in all five countries during the crisis period. There is also strong evidence of volatility spillovers particularly during and after the crisis periods.

Equity Returns and Volatilities Before and After the 2007-08 Financial Crisis

Zagreb International Review of Economics and Business

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Equity Returns and Volatilities Before and After the 2007-08 Financial Crisis"}

This paper investigates the linkages among equity markets of four European countries (Germany, France, Italy, UK) and the USA in terms of market returns and...

Equity Returns and Volatilities Before and After the 2007-08 Financial Crisis

Publié en ligne: 09 juin 2017

Pages: 65 - 79

DOI: https://doi.org/10.1515/zireb-2017-0008

Mots clés
co-movement of returns, volatility persistence, volatility spillovers, GARCH, Exchange traded funds

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Equity Returns and Volatilities Before and After the 2007-08 Financial Crisis

Publié en ligne: 09 juin 2017

Pages: 65 - 79

DOI: https://doi.org/10.1515/zireb-2017-0008

Mots clésco-movement of returns, volatility persistence, volatility spillovers, GARCH, Exchange traded funds

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Mots clés
co-movement of returns, volatility persistence, volatility spillovers, GARCH, Exchange traded funds