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

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

Posted: 27 Dec 2011  

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

Date Written: August 1, 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

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: https://ssrn.com/abstract=1977278

Dimitrios I. Dimitriou (Contact Author)

University of Athens ( email )

Department of Economics
Athens
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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