Abstract

http://ssrn.com/abstract=1977278
 
 

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Dynamic Linkages and Interdependence Between Mediterranean Region EMU Markets During 2007 Financial Crisis


Dimitrios I. Dimitriou


University of Athens; University of Ioannina - Department of Economics

Theodore Simos


University of Ioannina - Department of Economics

Petros Mpitsios


Technological Educational Institute (TEI) of Epirus - Department of Finance and Auditing

August 1, 2011

International Research Journal of Finance and Economics, No. 71, p. 70, 2011

Abstract:     
This paper examines the volatility spillover effects among Mediterranean equity markets and investigates the effects of the 2007 financial crisis. German, Greek, Spanish, Italian and Portuguese markets are investigated. German market is used as a benchmark market. We employ a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model to identify the direction and magnitude of volatility spillovers. By using a sample of daily data from 1994 to 2009, we find evidence that before the global crisis begins, the largest impact in Mediterranean markets had the Germany market. In post-crisis period, Spain had the higher spillover effects between the other markets, followed by Germany, Italy, Portugal and Greece. Our results have implications for investors, policy makers, entrepreneurs and academicians.

Keywords: Spillover effects, Mediterranean markets, MGARCH, BEKK model

JEL Classification: F02

Accepted Paper Series





Not Available For Download

Date posted: December 27, 2011  

Suggested Citation

Dimitriou, Dimitrios I. and Simos, Theodore and Mpitsios, Petros, Dynamic Linkages and Interdependence Between Mediterranean Region EMU Markets During 2007 Financial Crisis (August 1, 2011). International Research Journal of Finance and Economics, No. 71, p. 70, 2011. Available at SSRN: http://ssrn.com/abstract=1977278

Contact Information

Dimitrios I. Dimitriou (Contact Author)
University of Athens ( email )
5 Stadiou Strt
Athens, 12131
Greece
University of Ioannina - Department of Economics ( email )
45110 Ioannina
Greece
Theodore Simos
University of Ioannina - Department of Economics ( email )
45110 Ioannina
Greece
Petros Mpitsios
Technological Educational Institute (TEI) of Epirus - Department of Finance and Auditing ( email )
Preveza, 48100
Greece
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