Modelling spillover effects between the UK and the US stock markets over the period 1935–2020

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2020-04-02 DOI:10.1080/10293523.2020.1773143

Olalekan Aladesanmi

引用次数: 3

Abstract

ABSTRACT This study investigates the spillovers of shocks and volatilities between the UK and the US stock markets over the period 1935–2020. The empirical analysis is carried out for the full sample and four subsample periods by applying the asymmetric GARCH-BEKK model. Based on the empirical results, the evidence indicates that financial market linkages between the two markets have become stronger since the commencement of the European Monetary Union (EMU), which suggests that stronger financial market interactions and interdependence could increase the vulnerabilities of domestic markets to any global shocks and reduce the potential benefits of portfolio diversification.

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1935-2020年期间英国和美国股市之间的溢出效应建模

摘要:本研究探讨了1935年至2020年期间英国和美国股市冲击和波动的溢出效应。采用非对称GARCH-BEKK模型对全样本和四个子样本周期进行了实证分析。基于实证结果，证据表明，自欧洲货币联盟(EMU)开始以来，两个市场之间的金融市场联系变得更加紧密，这表明更强的金融市场互动和相互依存可能会增加国内市场对任何全球冲击的脆弱性，并降低投资组合多样化的潜在收益。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

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