Journal of Banking & Finance Vol. 21 No. 6 1997

Price and volatility spillovers in Scandinavian stock markets

G. Geoffrey Booth¹; Teppo Martikainen²; Yiuman Tse³

¹ Louisiana State University · ² University of Vaasa · ³ Binghamton University

Abstract

New evidence is provided on price and volatility spillovers among the Danish, Norwegian, Swedish, and Finnish stock markets. The impact of good news (market advances) and bad news (market retreats) is described by a multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model. Volatility transmission is asymmetric, spillovers being more pronounced for bad than good news. Significant price and volatility spillovers exist but they are few in number.

DOI

10.1016/s0378-4266(97)00006-x

Volume

21

Issue

6

Pages

811-823

Language

en

Sources

openalex crossref bibtex:phds-export.bib

Cite

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