Price and volatility spillovers in Scandinavian stock markets

Abstract 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.

[1]  Kenneth Kasa,et al.  Common stochastic trends in international stock markets , 1992 .

[2]  V. Smith,et al.  Testing the Life-Cycle Hypothesis with a Norwegian Household Panel , 1989 .

[3]  Ronald W. Masulis,et al.  Correlations in Price Changes and Volatility Across International Stock Markets , 1990 .

[4]  G. Booth,et al.  The effect of foreign ownership restrictions on stock price dynamics , 1994 .

[5]  E. Fama,et al.  Efficient Capital Markets : II , 2007 .

[6]  Philip Garcia,et al.  Lead‐lag relationships between trading volume and price variability: New evidence , 1986 .

[7]  T. Bollerslev,et al.  Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model , 1990 .

[8]  W. Wallace,et al.  Evolving Financial Reporting Practices: A Comparative Study of the Nordic Countries' Harmonization Efforts , 1995 .

[9]  Lilian Ng.  Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach , 1991 .

[10]  Richard Roll,et al.  Industrial Structure and the Comparative Behavior of International Stock Market Indices , 1992 .

[11]  Bronwyn H Hall,et al.  Estimation and Inference in Nonlinear Structural Models , 1974 .

[12]  S. Johansen.  Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models , 1991 .

[13]  Kristian Rydqvist,et al.  ASSET PRICING WITH IN‐ AND OUTFLOW CONSTRAINTS: THEORY AND EMPIRICAL EVIDENCE FROM SWEDEN , 1993 .

[14]  Robert F. Engle,et al.  Testing for Common Features: Reply , 1993 .

[15]  Ying-Wong Cheung,et al.  Stock Price Dynamics and Firm Size: An Empirical investigation , 1992 .

[16]  T. Bollerslev,et al.  A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .

[17]  Björn Hansson,et al.  Testing the random walk hypothesis on Swedish stock prices: 1919–1990 , 1993 .

[18]  G. Andrew Karolyi,et al.  A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada , 1995 .

[19]  Daniel B. Nelson.  CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .

[20]  Stephen L Taylor,et al.  Stock returns and volatility: An empirical study of the UK stock market , 1992 .

[21]  Tim Bollerslev,et al.  A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets , 1990 .

[22]  F. Diebold.  Empirical modeling of exchange rate dynamics , 1988 .

[23]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[24]  K. French,et al.  Expected stock returns and volatility , 1987 .

[25]  Ronald W. Masulis,et al.  Energy Shocks and Financial Markets , 1996 .

[26]  Michael Tucker,et al.  Temporal relationships and dynamic interactions between spot and futures stock markets , 1996 .

[27]  Ike Mathur,et al.  Interdependencies among the Nordic and U.S. Stock Markets , 1990 .

[28]  Thomas C. Chiang,et al.  A system of stock prices in world stock exchanges: Common stochastic trends for 1975–1990 , 1991 .

[29]  G. Andrew Karolyi,et al.  Good news, bad news and international spillovers of stock return volatility between Japan and the U.S. , 1994 .

[30]  G. Geoffrey Booth,et al.  Asymmetric volatility transmission in international stock markets , 1995 .

[31]  Robert F. Engle,et al.  Testing for Common Features , 1993 .

[32]  J. Geweke,et al.  THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS , 1983 .