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
University of Ioannina - Department of Economics
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
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
Date posted: December 27, 2011
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