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Volatility Spillover Effects in Scandinavian Equity Markets

Xu, Yan LU (2013) NEKN02 20131
Department of Economics
Abstract
The mean and volatility spillover effects from the US and the aggregate European stock markets into individual Scandinavian equity markets are investigated by applying an EGARCH volatility-spillover model. Both the mean and volatility spillover effects from the US market are found to be significant. The European mean-spillover effects are small, negligible, and insignificant whereas the EU volatility-spillover effects are essential for all Nordic countries. In these four countries, the European effects are least significant. In Denmark and Norway, the local effects are most essential, followed by the US effects whereas the world influences are most significant in Sweden and Finland. The significance level of the world, regional, and local... (More)
The mean and volatility spillover effects from the US and the aggregate European stock markets into individual Scandinavian equity markets are investigated by applying an EGARCH volatility-spillover model. Both the mean and volatility spillover effects from the US market are found to be significant. The European mean-spillover effects are small, negligible, and insignificant whereas the EU volatility-spillover effects are essential for all Nordic countries. In these four countries, the European effects are least significant. In Denmark and Norway, the local effects are most essential, followed by the US effects whereas the world influences are most significant in Sweden and Finland. The significance level of the world, regional, and local effects in Sweden and Denmark are neither changed by the formation of the OMX group, the 2008 financial crisis, nor the overall trend from 1995 until 2012. Although the two big events that had happened have increased the significance level of the impact from the US to Norway, but the general trend of the significant effects from the three markets (the US, EU, and the local) remains unaltered. In Finland, there is no significant change in spillover effect stemming from the occurrence of these two events, but the influences from the local effects are increasing over the sample period. (Less)
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author
Xu, Yan LU
supervisor
organization
course
NEKN02 20131
year
type
H1 - Master's Degree (One Year)
subject
keywords
Key words: stock markets, US, the aggregate European, OMX group formation, 2008 financial crisis impacts, mean, volatility, spillover
language
English
id
3801122
date added to LUP
2013-06-12 14:39:10
date last changed
2013-06-12 14:39:10
@misc{3801122,
  abstract     = {The mean and volatility spillover effects from the US and the aggregate European stock markets into individual Scandinavian equity markets are investigated by applying an EGARCH volatility-spillover model. Both the mean and volatility spillover effects from the US market are found to be significant. The European mean-spillover effects are small, negligible, and insignificant whereas the EU volatility-spillover effects are essential for all Nordic countries. In these four countries, the European effects are least significant. In Denmark and Norway, the local effects are most essential, followed by the US effects whereas the world influences are most significant in Sweden and Finland. The significance level of the world, regional, and local effects in Sweden and Denmark are neither changed by the formation of the OMX group, the 2008 financial crisis, nor the overall trend from 1995 until 2012. Although the two big events that had happened have increased the significance level of the impact from the US to Norway, but the general trend of the significant effects from the three markets (the US, EU, and the local) remains unaltered. In Finland, there is no significant change in spillover effect stemming from the occurrence of these two events, but the influences from the local effects are increasing over the sample period.},
  author       = {Xu, Yan},
  keyword      = {Key words: stock markets,US,the aggregate European,OMX group formation,2008 financial crisis impacts,mean,volatility,spillover},
  language     = {eng},
  note         = {Student Paper},
  title        = {Volatility Spillover Effects in Scandinavian Equity Markets},
  year         = {2013},
}