The paper investigates the mean and volatility spillover effects
from U.S and EU stock markets as well as oil price market into
national stock markets of eight European countries. The study finds
strong indication of volatility spillover effects from global US,
regional EU, and world factor oil towards individual stock
markets.. To evaluate the volatility spillovers, the variance
ratios are computed and the results draw to attention that the
individual emerging countries' stock returns are mostly influenced
by the U.S volatility spillovers rather than the EU or oil markets.
The weak evidence of asymmetric effects with respect to oil market
shocks is found only in the case of Russia and the quantified
variance ratios indicate that presence of oil market shocks are
relatively higher for Russia. Moreover, a model with dummy variable
confirms the effect of European Union enlargement on stock returns
only for Romania. Finally, a conditional model suggests that the
spillover effects are partially explained by instrumental
macroeconomic variables, out of which exchange rate fluctuations
play a key role in explaining the spillover parameters.
General
Imprint: |
Lap Lambert Academic Publishing
|
Country of origin: |
United States |
Release date: |
December 2013 |
First published: |
December 2013 |
Authors: |
Abdulla Alikhanov
|
Dimensions: |
229 x 152 x 5mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
76 |
ISBN-13: |
978-3-659-50476-1 |
Categories: |
Books >
Business & Economics >
Business & management >
General
|
LSN: |
3-659-50476-9 |
Barcode: |
9783659504761 |
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