Impact of the NYSE Shocks on the European Developed Capital Markets
This paper was submitted to the International Conference "Risk in Contemporary Economy", 2016
8 Pages Posted: 1 Jun 2016
Date Written: May 30, 2016
This paper explores the impact of the large stock prices increases (positive shocks) and decreases (negative shocks) from the New York Stock Exchange on the returns and volatility of some European developed capital markets. We found that more than a half of shocks from these European stock markets were related to the shocks from US capital market. The results of GARCH models suggest that only the negative shocks from New York Stock Exchange increased the volatility of the European developed capital markets.
Keywords: Shocks, International stock markets linkages, Volatility transmission
JEL Classification: F30, G14, G15
Suggested Citation: Suggested Citation