Price and volatility spillovers in Scandinavian stock markets

被引：128
|
作者：
Booth, GG
Martikainen, T
Tse, Y
机构：
[1] UNIV VAASA,DEPT ACCOUNTING & FINANCE,VAASA 65101,FINLAND
[2] LOUISIANA STATE UNIV,DEPT FINANCE,BATON ROUGE,LA 70803
[3] SUNY BINGHAMTON,SCH MANAGEMENT,BINGHAMTON,NY 13902
来源：
JOURNAL OF BANKING & FINANCE | 1997年 / 21卷 / 06期
关键词：
stock returns; volatility; Scandinavia; EGARCH;
D O I：
10.1016/S0378-4266(97)00006-X
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
New evidence is provided on price and volatility spillovers among the Danish, Norwegian, Swedish, and Finnish stock markets. The impact of good news (market advances) and bad news (market retreats) is described by a multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model. Volatility transmission is asymmetric, spillovers being more pronounced for bad than good news. Significant price and volatility spillovers exist but they are few in number. (C) 1997 Elsevier Science B.V.
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页码：811 / 823
页数：13
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