Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union: an empirical case study

Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union: an empirical case study

Purpose – This article examines volatility spillovers, cross-market correlation, and comovements between selected developed and former communist emerging stock markets in the European Union. Modelling the behavioural dynamics of European stock markets represents a vital topic in a fascinating contex...

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Bibliographic Details
Main Authors: Jatin Trivedi, Cristi Spulbar, Ramona Birau, Amir Mehdiabadi
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2021-03-01
Series:Business, Management and Economics Engineering
Subjects:
volatility spillover
garch family models
stock market dynamics
investor behaviour
diversification
news
Online Access:https://journals.vgtu.lt/index.php/BME/article/view/13588

Internet

https://journals.vgtu.lt/index.php/BME/article/view/13588

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