Time-varying contemporaneous spillovers during the European Debt Crisis

Marinela Adriana FINTA, Singapore Management University
Bart FRIJINS, Auckland University of Technology
Alireza TOURANI-RAD, Auckland University of Technology

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.