Volatility Spillover Effects in European Equity Markets

By Lieven Baele. Journal of Financial and Quantitative Analysis, 2005

722 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/256c2c25fbc228e5b272d3f22c5753ae602d8d76

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Citations in the corpus

Volatility Transmission Models: A Survey (2006, neutral): “Some examples of studies using this specification are Longin and Solnik (1995), Karolyi (1995), Koutmos and Booth (1995), Koutmos (1996), Scheicher (2001), Bera and Kim (2002) or Baele (2005) for stock markets, Karolyi and Stulz (1996) for American Depositary Receipts (ADRs) and Bollerslev (1990) fo”
Market Integration and Contagion (2005, neutral): “…include Engle and Susmel (1993), who group the data according to time zones and search for common regional news factors, Cheung, He, and Ng (1997), who examine common predictable components in returns within a region, and Baele (2004), who examines regional stock market integration in Europe.”
A spatial analysis of international stock market linkages (2013, background): “(see for example Bekaert and Harvey (1995) and Baele (2005)).”
The Euro and European Financial Market Dependence (2007, background): “…a larger degree by common factors due to the reduction of exchange rate risk, so that country stock market returns should be more proportionally explained by their covariances with the regional stock market returns (Bekaert and Harvey, 1995; Bekaert et al., 2002; Baele, 2005; Bekaert et al., 2005).”
Global Crises and Equity Market Contagion (2012, positive): “For instance, trade integration during non-crisis times has, not surprisingly, strong effects on the exposures of the portfolios with respect to global and US factors, confirming results in the literature (see e.g. Baele, 2005).”
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, positive): “Baele (2005) shows increasing volatility spillover effects in the Western European markets. A similar conclusion is reached by Bekaert et al. (2009), using risk-based factor models, while these authors find mixed evidence of interdependence in other regions. Given the benefits of being exposed to re”
Equity Market Integration in Emerging Balkan Markets (2011, background): “A large body of literature applies several variants of GARCH models to accommodate the possibilities of non-normalities and asymmetries in the variance of returns (e.g., Bekaert et al., 2002; Baele, 2005).”
Measuring financial integration in the euro area (2004, methodology): “First, we develop a simple shock spillover model similar to those of Bekaert and Harvey (1997), Ng (2000), Fratzscher (2001), and Baele (2003). t i t b t i t i t i R R , , , , , ε β α + ∆ + = ∆”
Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011, background): “While there are a number of papers on volatility transmission in financial and/or energy markets (e.g., Hamao, Masulis, and Ng 1990; Ewing, Malik, and Ozfidan 2002; Baele 2005), specific studies on volatility transmission between crude oil and agricultural markets are sparse.”