دانلود مقاله ISI انگلیسی شماره 101163
ترجمه فارسی عنوان مقاله

تاثیر روز افزون صنعت در روزهای خاص در بازارهای سهام اروپا

عنوان انگلیسی
Intraday industry-specific spillover effect in European equity markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
101163 2017 21 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : The Quarterly Review of Economics and Finance, Volume 63, February 2017, Pages 278-298

پیش نمایش مقاله
پیش نمایش مقاله  تاثیر روز افزون صنعت در روزهای خاص در بازارهای سهام اروپا

چکیده انگلیسی

This paper investigates the existence of financial contagion between the US and 10 European stock markets. Using intraday minute-per-minute data of a large set of 374 equities from three different industries, over the period from January to June 2011, we investigate the impact of increased volatility in the US on the inter-country industry-level spillover effect. Self-built industry indices are used, which allows the implementation of the same index methodology across different markets. We first show that the spillover of asset price volatility from the US to European markets does exist; the greatest spike in the volatility in the target markets is observed in the first minute, and is absorbed in the first 5 min after the volatility increase. Second, we can state that euro-denominated markets amplify the spillover effect of volatility from the US market. Third, we provide evidence of the industry heterogeneity of the spillover effects, and claim that an analysis of financial contagion across different industries is desirable, using industry indices instead of global market indices.