Business Management Dynamics

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ISSN: 2047-7031

bmd Business and Management Dynamics bmd
ISSN: 2047-7031  
Volume  3   Issue 6  2013  
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Article Abstract
Dynamic Interactions among Four European Market Regions
Keywords:  Spillover effects, GARCH-BEKK model, volatility, cross-listings
Athanasios Koulakiotis and Nicholas Papasyriopoulos
This paper examines the integration process of cross-listed equities in Europe. The primary focus of this study is to examine the volatility and error spillover effects for cross-listings across regional markets with different structures. More specifically, we analyse the magnitude of volatility and error spillovers and the volatility persistence among the home equity of cross-listed companies across four regional stock markets in Europe: the Scandinavian (Copenhagen, Stockholm, Helsinki and Oslo), the French (Brussels, Paris, Milan, Amsterdam and Madrid), the Germanic (Vienna, Zurich and German ones) and the UK (London and Dublin) stock markets. We examine the above regions in order to detect information spillover effects for investors when they construct portfolios of cross-listed equities, across markets with broadly different regional structures. Overall, we find that spillover effects are important across regional European markets for cross-listed companies.
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