scholarly journals MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY

2021 ◽  
Vol 19 (01) ◽  
pp. 70-90
Author(s):  
Jatin Trivedi ◽  
Cristi Spulbar ◽  
Ramona Birau ◽  
Amir Mehdiabadi
Keyword(s):  
European Union ◽  
Financial Markets ◽  
Empirical Analysis ◽  
Stock Markets ◽  
The European Union ◽  
Volatility Clustering ◽  
Volatility Spillovers ◽  
Considerable Impact ◽  
European Stock Markets ◽  
The Empirical Analysis

Purpose – This article examines volatility spillovers, cross-market correlation, and comovements between selected developed and former communist emerging stock markets in the European Union. Modelling the behavioural dynamics of European stock markets represents a vital topic in a fascinating context, but also a current challenge of great interest. Research Methodology – We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings – The econometric approach includes GARCH (1, 1) models for the sample period from 1, January 2000 to 12, July 2018. The empirical results revealed that exists a significant presence of volatility clustering in all selected financial markets except Poland and Croatia. The empirical analysis also indicates that both recent and past news generate a considerable impact on present volatility. Research limitations – Our empirical study has certain limitations regarding the relatively small number of only eight stock markets. Practical implications – It can provide a useful perspective for researchers, academics, investors, investment managers, decision-makers, and scientists. Originality/Value – The empirical analysis is focused on 8 European stock markets, which are classified as developed (Spain, UK, Germany, and France) and emerging (Poland, Hungary, Croatia, and Romania).

scholarly journals Macroeconomic Determinants of Contingent Protection: The Case of the European Union

2001 ◽  
Vol 50 (3) ◽  
Author(s):  
Bettina Becker ◽  
Martin Theuringer
Keyword(s):  
European Union ◽  
Empirical Analysis ◽  
Import Competition ◽  
The European Union ◽  
Macroeconomic Determinants ◽  
The Empirical Analysis ◽  
The Eu

AbstractContingent Protection, and in particular Antidumping (AD), has grown to become an important trade restricting device in the European Union (EU). This paper analyses whether internal and external macroeconomic pressure may contribute to explain the variations in the intensity of AD policy in the EU. The empirical analysis shows that the filing activity is inversely related to the domestic macroeconomic situation. This result suggests that AD is more a tool of protectionism rather than an instrument to countervail alleged unfair import competition.

Analysis on the European Union and the Concept of Welfare in the Context of the Economic Crisis the Cases of Spain, Portugal, Greece, and Italy

2018 ◽  
pp. 43-53
Author(s):  
Luis Rodrigo Rodrigo Asturias Schaub
Keyword(s):  
European Union ◽  
Empirical Analysis ◽  
Economic Crisis ◽  
Graphical Analysis ◽  
Current Situation ◽  
The European Union ◽  
The World ◽  
The Empirical Analysis ◽  
Of Greece

The economic crisis of 2007 is still a matter of preoccupation for the countries around the World. The effect of the economic crisis is still in the agendas of many regions, including Europe. The present paper analyzes the effect of the economic crisis on one of the most important values of the European Union: wellbeing. The analysis leads us to the response of two main questions that elaborated the document: What is the current situation in Europe? What is the effect of the current situation in the wellbeing of Greece, Portugal, Spain, and Italy? The countries were chosen because of the similar situation they have concerning debt, inflation, unemployment and the search for immediate solutions. The empirical analysis based an inductive process and correlation and graphical analysis exemplify the situation of wellbeing in Europe.

Normalization

2020 ◽  
pp. 107-119
Author(s):  
Frank Schimmelfennig ◽  
Thomas Winzen
Keyword(s):  
European Union ◽  
Empirical Analysis ◽  
European Market ◽  
The European Union ◽  
Member States ◽  
New Member States ◽  
Differentiated Integration ◽  
Accession Process ◽  
Almost All ◽  
The Empirical Analysis

Focusing on the 2004 and 2007 Eastern enlargement of the European Union, this chapter traces the ‘normalization’ of differentiated integration after new countries become member states. The chapter explains pre-accession tensions between demands of member states to limit the membership benefits of the applicant countries, and demands of the applicants to help them deal with the burdens of joining a competitive European market. It also explores the post-accession process in which new member states are in a better position to avoid discriminatory differentiation but still have to cope with the repercussions of accession differentiation. The empirical analysis shows that almost all accession differentiation—both preferential and discriminatory—disappears within ten to fifteen years of membership.

Ocena antykryzysowej polityki gospodarczej Stanów Zjednoczonych i wybranych państw członkowskich Unii Europejskiej w latach 2005–2014

2016 ◽  
pp. 26-46
Author(s):  
Marcin Jan Flotyński
Keyword(s):  
United States ◽  
European Union ◽  
Financial Markets ◽  
Global Economy ◽  
Global Financial Crisis ◽  
The United States ◽  
The European Union ◽  
High Volatility ◽  
The Global Financial Crisis ◽  
Domestic Products

The global financial crisis in 2007–2009 began a period of high volatility on the financial markets. Specifically, it caused an increased amplitude of fluctuations of the level of gross domestic products, the level of investment and consumption and exchange rates in particular countries. To address the adverse market circumstances, governments and central banks took actions in order to bolster the weakening global economy. The aim of this article is to present the anti-crisis actions in the United States and selected member states of the European Union, including Poland, and an assessment of their efficiency. The analysis conducted indicates that generally the actions taken in the United States in response to the crisis were faster and more adequate to the existing circumstances than in the European Union.

The Impact of Regulatory Standards, Interest Rates and Trading Volume on Volatility Transmission between Cross-Listed European Equities

2009 ◽  
Vol 10 (1) ◽  
pp. 89-105
Author(s):  
Koulakiotis Dasilas ◽  
Tolikas Molyneux
Keyword(s):  
Interest Rates ◽  
Stock Markets ◽  
Trading Volume ◽  
Positive Impact ◽  
Stock Exchanges ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Regulatory Standards ◽  
European Stock Markets ◽  
The Impact

This paper investigates the relationship between volatility transmission and stock market regulatory structures, interest rates and trading volume for European securities which are cross-listed on stock exchanges of higher, lower or similar regulatory standards compared to their home stock markets. The empirical results suggested that the regulatory environment has a significant impact on volatility spillovers and the level of interest rates and trading volume have a positive impact on the magnitude and persistence of these volatility spillovers. These findings have potentially important implications for both regulators and investors who are concerned with the effectiveness of legislation aiming to harmonise the European stock markets and the effects of volatility transmission on investment positions across European stock markets.

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