Intraday Industry-Specific Spillover Effect in European Equity Markets

36 Pages Posted: 8 Aug 2014

See all articles by Cesario Mateus

Cesario Mateus

Aalborg University; Aalborg University Business School; Aalborg University Business School

V. L. Chinthalapati

University of Greenwich

Irina B. Mateus

Aalborg University

Multiple version iconThere are 2 versions of this paper

Date Written: August 7, 2014

Abstract

This paper investigates the existence of financial contagion between the US and 10 European stock markets. Using intraday minute per minute data of a large set of 374 equities from three different industries over the period from January to June 2011 we investigate the impact of increased volatility in the US on the cross-country industry level spillover effect. Self-built industry indices are used which allow implementing the same index methodology across different markets. We first show that spillover of asset price volatility from the US to European markets does exist; the greatest spike in the volatility in the target markets is observed in the first minute and absorbed in the first five minutes after the volatility increase. Second, we can state that Euro denominated markets amplify the spillover effect of volatility from the US market. Third, we provide evidence on the industry heterogeneity of the spillover effects and claim that an analysis of financial contagion across industries is desirable instead of the use of global market indices.

Keywords: Financial Contagion, Consumer Confidence Index, European Stock markets, Spillover Effect

JEL Classification: G1, G15

Suggested Citation

Mateus, Cesario and Chinthalapati, Venkata and B. Mateus, Irina, Intraday Industry-Specific Spillover Effect in European Equity Markets (August 7, 2014). Available at SSRN: https://ssrn.com/abstract=2477360 or http://dx.doi.org/10.2139/ssrn.2477360

Cesario Mateus (Contact Author)

Aalborg University

Fredrik Bajers Vej 7E
Aalborg, DK-9220
Denmark

Aalborg University Business School ( email )

Aalborg
Denmark

Aalborg University Business School ( email )

Aalborg
Denmark

Venkata Chinthalapati

University of Greenwich ( email )

United Kingdom

Irina B. Mateus

Aalborg University ( email )

Fredrik Bajers Vej 7E
Aalborg, DK-9220
Denmark

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