Pregled bibliografske jedinice broj: 935283
Volatilities and Equity Market Returns in Europe: An Investigation Using Exchange Traded Funds
Volatilities and Equity Market Returns in Europe: An Investigation Using Exchange Traded Funds // Proceedings of the Forty-Fifth Annual Meeting Western Decision Sciences Institute / Christodoulidou, Natasa (ur.).
Las Vegas (NV), Sjedinjene Američke Države, 2016. (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 935283 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Volatilities and Equity Market Returns in Europe: An Investigation Using Exchange Traded Funds
Autori
Dedi, Lidija ; Yavas, Burhan, F. ; Vardiabasis, Demos
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of the Forty-Fifth Annual Meeting Western Decision Sciences Institute
/ Christodoulidou, Natasa - , 2016
Skup
Forty-Fifth Annual Meeting Western Decision Sciences Institute
Mjesto i datum
Las Vegas (NV), Sjedinjene Američke Države, 05.04.2016. - 09.04.2016
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
market return, volatility spillover, ETFs, GARCH
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
