Artikel
Examining mean-volatility spillovers across national stock markets
The study of the stock market in a country and the understanding of the influence of stock market crashes within and across the markets has been the subject matter of many researches, academicians and analysts during recent times. In this study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover effects using the GARCH in Mean model for the period January 2002 to December 2011. The GARCH-M model seeks to provide useful insights into how information is transmitted and disseminated across stock markets. In particular, the model examines the precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong mean and volatility spillover across some stock exchanges.
- Sprache
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Englisch
- Erschienen in
-
Journal: Journal of Economics, Finance and Administrative Science ; ISSN: 2218-0648 ; Volume: 19 ; Year: 2014 ; Issue: 36 ; Pages: 55-62 ; Barcelona: Elsevier España
- Klassifikation
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Wirtschaft
General Economics and Teaching
- Thema
-
Stock market index
Volatility
Spillovers
GARCH-M model
Índice de la bolsa de valores
Volatilidad
Derrames
Modelo GARCH-M
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Natarajan, Vinodh Kesavaraj
Raja Singh, Azariah Robert
Priya, Nagarajan Chidham
- Ereignis
-
Veröffentlichung
- (wer)
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Elsevier España
- (wo)
-
Barcelona
- (wann)
-
2014
- DOI
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doi:10.1016/j.jefas.2014.01.001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Natarajan, Vinodh Kesavaraj
- Raja Singh, Azariah Robert
- Priya, Nagarajan Chidham
- Elsevier España
Entstanden
- 2014
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