Time-varying contemporaneous spillovers during the European Debt Crisis

This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in c...

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Main Authors: FINTA, Marinela Adriana, FRIJINS, Bart, TOURANI-RAD, Alireza
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
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Online Access:https://ink.library.smu.edu.sg/soe_research/2475
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3474&context=soe_research
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spelling sg-smu-ink.soe_research-34742021-05-19T09:33:53Z Time-varying contemporaneous spillovers during the European Debt Crisis FINTA, Marinela Adriana FRIJINS, Bart TOURANI-RAD, Alireza This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects. 2019-08-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2475 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3474&context=soe_research http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Contemporaneous spillovers Financial crises Euro Area Finance Finance and Financial Management
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Contemporaneous spillovers
Financial crises
Euro Area
Finance
Finance and Financial Management
spellingShingle Contemporaneous spillovers
Financial crises
Euro Area
Finance
Finance and Financial Management
FINTA, Marinela Adriana
FRIJINS, Bart
TOURANI-RAD, Alireza
Time-varying contemporaneous spillovers during the European Debt Crisis
description This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects.
format text
author FINTA, Marinela Adriana
FRIJINS, Bart
TOURANI-RAD, Alireza
author_facet FINTA, Marinela Adriana
FRIJINS, Bart
TOURANI-RAD, Alireza
author_sort FINTA, Marinela Adriana
title Time-varying contemporaneous spillovers during the European Debt Crisis
title_short Time-varying contemporaneous spillovers during the European Debt Crisis
title_full Time-varying contemporaneous spillovers during the European Debt Crisis
title_fullStr Time-varying contemporaneous spillovers during the European Debt Crisis
title_full_unstemmed Time-varying contemporaneous spillovers during the European Debt Crisis
title_sort time-varying contemporaneous spillovers during the european debt crisis
publisher Institutional Knowledge at Singapore Management University
publishDate 2019
url https://ink.library.smu.edu.sg/soe_research/2475
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3474&context=soe_research
_version_ 1712305299776339968