We explain co-movements between stock markets by explicitly considering the distinction between interdependence and contagion. We propose and implement a full-information approach on data for US and Germany to provide answers to the following questions: (i) Is there long-term interdependence between US and German stock markets? (ii) Is there short-term interdependence and contagion between US and German stock markets, i.e. do short-term fluctuations of the US share prices spill over to German share prices and is such co-movement unstable over high-volatility episodes? Our answers are, respectively, no to the first question and yes to the second one.

(2005). Explaining co-movements between stock markets: The case of US and Germany [journal article - articolo]. In JOURNAL OF INTERNATIONAL MONEY AND FINANCE. Retrieved from http://hdl.handle.net/10446/228256

Explaining co-movements between stock markets: The case of US and Germany

Bonfiglioli, Alessandra;
2005

Abstract

We explain co-movements between stock markets by explicitly considering the distinction between interdependence and contagion. We propose and implement a full-information approach on data for US and Germany to provide answers to the following questions: (i) Is there long-term interdependence between US and German stock markets? (ii) Is there short-term interdependence and contagion between US and German stock markets, i.e. do short-term fluctuations of the US share prices spill over to German share prices and is such co-movement unstable over high-volatility episodes? Our answers are, respectively, no to the first question and yes to the second one.
articolo
Bonfiglioli, Alessandra; Favero, Carlo
(2005). Explaining co-movements between stock markets: The case of US and Germany [journal article - articolo]. In JOURNAL OF INTERNATIONAL MONEY AND FINANCE. Retrieved from http://hdl.handle.net/10446/228256
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/228256
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