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Title: Volatility transmission from developed to emerging stock markets: a diagonal BEKK approach
Authors: Zachariadis, Konstantinos
Keywords: Volatility transmission
Issue Date: 2019
Publisher: Πανεπιστήμιο Μακεδονίας
Abstract: This study investigates the volatility transmission between global stock markets. To achieve our goal, we use daily stock index data covering the time period from 2000 to 2016. Furthermore, we examine the statistical properties of our series as well as the returns correlations, and employ the diagonal parameterization of the BEKK-GARCH model to study the volatility of the global stock market returns. Our results exhibit strong GARCH effects and relatively weaker ARCH effects. We provide evidence that global stock markets are quite integrated, but there is still room for diversification and risk reduction, through the thorough study of the linkages among the markets.
Description: Πτυχιακή εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2019.
Rights: Αναφορά Δημιουργού - Μη Εμπορική Χρήση - Παρόμοια Διανομή 4.0 Διεθνές
Appears in Collections:Τμήμα Οικονομικών Επιστημών (Π)

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