73rd International Atlantic Economic Conference

March 28 - 31, 2012 | Istanbul, Turkey

Transmission of news among four European equity regions

Thursday, 29 March 2012: 4:50 PM
Athanasios Koulakiotis, Ph.D. , International & European Studies, University of Macedonia, Thessaloniki, Greece
Katerina Lyroudi, Ph.D. , Business Management, Open Hellenic University, Thessaloniki, Greece
Apostolos Kiohos, Ph.D. , International and European Studies, University of Macedonia, Thessaloniki, Greece
Nikolaos Papasyriopoulos, Ph.D. , International & European Studies, University of Macedonia, Thessaloniki, Greece
This paper examines the integration process for cross-listed equities in four European regions. The primary focus of our study is to examine both volatility and error transmission effects for cross-listings across different regions with different market structures. The GARCH-BEKK model represents a successful attempt to overcome the various technical difficulties associated with previous approaches, such as the fact that the definite Ht matrix may not always be positive (a restriction imposed in the previous empirical approaches). We test the magnitude of information spillovers and the volatility persistence for home equity of cross-listed companies across different regional stock markets: the Scandinavian (comprising Copenhagen, Stockholm, Helsinki and Oslo), the French (contains Brussels, Paris, Milan, Amsterdam and Madrid), the Germanic (including Vienna, Zurich and German) and the UK (e.g. London and Dublin) areas. We examine the above regions in order to detect information spillover effects across markets with broadly different regional equity structures. We find: a) spillover effects are important across regional European markets for cross-listed companies, b) the integration process remains important in all European regional equity markets and c) the integration process is quite different in tits magnitude, namely size, and sign and persistence. Finally, the impact of the UK shocks is persistent enough within the UK regional area and also across the other three regional stock market areas.