Publication Type
Journal Article
Version
acceptedVersion
Publication Date
8-2019
Abstract
This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects.
Keywords
Contemporaneous spillovers, Financial crises, Euro Area
Discipline
Finance | Finance and Financial Management
Publication
Empirical Economics
Volume
57
Issue
2
First Page
423
Last Page
448
ISSN
0377-7332
Identifier
10.1007/s00181-018-1480-1
Publisher
Springer
Embargo Period
3-27-2022
Citation
FINTA, Marinela Adriana; FRIJINS, Bart; and TOURANI-RAD, Alireza.
Time-varying contemporaneous spillovers during the European Debt Crisis. (2019). Empirical Economics. 57, (2), 423-448.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6977
Copyright Owner and License
Authors / SKBI
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1007/s00181-018-1480-1