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Volatilities and Equity Market Returns in Europe: An Investigation Using Exchange Traded Funds

We study equity market return and volatility spillovers using regression and GARCH methodologies in France, Germany, Italy, Spain and Switzerland during the period of 2005-2015. Findings indicate significant return co- movements and volatility transmissions in most of the countries in the sample except Italy and Spain. Also, volatilities persists longer periods in some countries (Spain and Italy) than others (Germany and Switzerland). Findings are elaborated upon and implications and recommendations provided for individuals and companies for diversification and risk reduction.

market return, volatility spillover, ETFs, GARCH

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