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

See all articles by Ramona Dumitriu

Ramona Dumitriu

University Dunarea De Jos Galati

Razvan Stefanescu

University Dunarea De Jos Galati

Date Written: May 30, 2016

Abstract

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

Dumitriu, Ramona and Stefanescu, Razvan, Impact of the NYSE Shocks on the European Developed Capital Markets (May 30, 2016). This paper was submitted to the International Conference "Risk in Contemporary Economy", 2016. Available at SSRN: https://ssrn.com/abstract=2786772 or http://dx.doi.org/10.2139/ssrn.2786772

Ramona Dumitriu (Contact Author)

University Dunarea De Jos Galati ( email )

Romania

Razvan Stefanescu

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

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