Izvorni znanstveni članak
https://doi.org/10.1515/zireb-2017-0008
Equity Returns and Volatilities Before and After the 2007-08 Financial Crisis
Lidija Dedi
; University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia
Burhan Faith Yavas
; California State University Dominguez Hills, CA, USA
Sažetak
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 Heteroscedasticity 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.
Ključne riječi
co-movement of returns; volatility persistence; volatility spillovers; GARCH; Exchange traded funds
Hrčak ID:
182004
URI
Datum izdavanja:
24.5.2017.
Posjeta: 1.056 *