Volatility Transmission Patterns and Terrorist Attacks

29 Pages Posted: 18 Feb 2007

See all articles by Helena Chuliá

Helena Chuliá

University of Barcelona - Faculty of Economic Science and Business Studies

Francisco J. Climent

University of Valencia - Department of Financial Economics

Pilar Soriano

University of Valencia - Department of Financial Economics

Hipòlit Torró

University of Valencia

Date Written: December 2006

Abstract

The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets.

Suggested Citation

Chuliá, Helena and Climent Diranzo, Francisco José and Soriano Felipe, Pilar and Torró, Hipòlit, Volatility Transmission Patterns and Terrorist Attacks (December 2006). Available at SSRN: https://ssrn.com/abstract=963632 or http://dx.doi.org/10.2139/ssrn.963632

Helena Chuliá

University of Barcelona - Faculty of Economic Science and Business Studies ( email )

Barcelona
Spain

Francisco José Climent Diranzo

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain
00-34-963828369 (Phone)
00-34-963828370 (Fax)

HOME PAGE: http://www.uv.es/~fcliment

Pilar Soriano Felipe (Contact Author)

University of Valencia - Department of Financial Economics ( email )

Avda. de los naranjos s/n
Valencia, 46022
Spain
+34 963828369 (Phone)
+34 963828370 (Fax)

Hipòlit Torró

University of Valencia ( email )

Facultat d'Economia
Av. dels Tarongers s/n
Valencia, 46022
Spain
34-6-162 50 74 (Phone)
34-6-382 83 70 (Fax)

HOME PAGE: http://www.uv.es/torro

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