Volatility transmission patterns and terrorist attacks

被引:17
作者
Chulia, Helena [2 ]
Climent, Francisco [1 ]
Soriano, Pilar [1 ]
Torro, Hipolit [1 ]
机构
[1] Univ Valencia, Dept Econ Financera & Actuarial, Valencia 46022, Spain
[2] Univ Oberta Catalunya, Dept Econ & Business, Barcelona 08035, Spain
关键词
Volatility modelling; International finance; International asset pricing; GARCH models; Multivariate volatility; Risk management; INTERNATIONAL EQUITY MARKETS; FINANCIAL CONTAGION; STOCK MARKETS; TIME-SERIES; UNIT-ROOT; RETURNS; US; COINTEGRATION; COMOVEMENTS; JAPAN;
D O I
10.1080/14697680802637882
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The objective of this study is to analyse volatility transmission between the US and Eurozone stock markets considering the financial market responses to the September 11, March 11 and July 7 terrorist attacks. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the turmoil periods themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the financial market responses to the terrorist attacks. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impacts that terrorist attacks had on both markets.
引用
收藏
页码:607 / 619
页数:13
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