Archive of Journal - Financing
Financing – scientific magazine for economy
ISSUE 2018, No. 2, Article 2, Year of publication: 9, June 2018
Transmission of volatilities among major European equity markets before and after 2008-09 financial crisis
Lidija Dedi, PhD*
*PhD Associate Professor, University of Zagreb, Faculty of Economics & Business, Department for Managerial Economics
This paper investigates volatility persistence and transmission of volatilities before and after the 2008-09 crisis using exchange traded funds (ETFs) in the major European equity markets: France, Germany, Italy, Spain and UK. GARCH (1, 1) and EGARCH (1, 1) are applied to daily returns on country ETFs from August 30, 2002 to August 31, 2007 and December 31, 2009 to December 31, 2015. The results show that volatilities react strongly to market movements and their shocks fade away slowly in Eurozone. Furthermore, volatility spills over among the sample equity markets in the post crisis period. In the pre-crisis period, only UK market volatility spills over to other markets.
Keywords: volatility persistence, volatility spillovers, GARCH, EGARCH.