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Spillover Effects in the Swedish Equity Market. A study of global, regional and local effects within different industrial sectors

Hallberg, Daniel and Pehrson, Mats (2005)
Department of Economics
Abstract
The purpose of this paper is to study the dynamics og interaction between equity markets in the US, the EMU and Sweden. We apply an extended AR-GARCH model to the index returns of various industries to capture mean and volatility spillover effects, as well as heteroskedastic variance. We find strong evidence of both mean and volatility spillover from both the US and the EMU into the Swedish market. The industries examined are influenced in very different ways by the global (US) and regional (EMU) factors.
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author
Hallberg, Daniel and Pehrson, Mats
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Sweden, AR-GARCH, equity markets, globalization, maximum likelihood estimation, spillover, variance ratio, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
language
English
id
1644091
date added to LUP
2005-03-22 00:00:00
date last changed
2010-08-03 14:56:58
@misc{1644091,
  abstract     = {{The purpose of this paper is to study the dynamics og interaction between equity markets in the US, the EMU and Sweden. We apply an extended AR-GARCH model to the index returns of various industries to capture mean and volatility spillover effects, as well as heteroskedastic variance. We find strong evidence of both mean and volatility spillover from both the US and the EMU into the Swedish market. The industries examined are influenced in very different ways by the global (US) and regional (EMU) factors.}},
  author       = {{Hallberg, Daniel and Pehrson, Mats}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Spillover Effects in the Swedish Equity Market. A study of global, regional and local effects within different industrial sectors}},
  year         = {{2005}},
}