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Regime Shifts and Volatility Spillovers in Internationel Stock Markets
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1995 (English)Report (Other academic)
Abstract [en]

A standard capital asset pricing model is extended to allow for stochastic shifts in the volatility of the news process. This model is then estimated on bivariate stock market data to separate two exogenous news processes - a world and a domestic. The results indicate that the influence of the world news process on the Swedish stock market has increased significantly over the period 1970-1995. I also find that the foreign influence is much stronger when the volatility of the world news process is high. Furthermore, when the world state shifts to high risk, the Swedish stock market immediately reacts by a large fall, estimated to 7.0%. The bivariate model is also  estimated on a set of other national stock markets.

Place, publisher, year, edition, pages
Stockholm: IIES , 1995. , 20 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 603
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-40891OAI: oai:DiVA.org:su-40891DiVA: diva2:327111
Available from: 2010-06-29 Created: 2010-06-28 Last updated: 2010-07-02Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf