Journal of International Business and Economy





file #1   ĶĒ    5_Koulakiotis,Dasilas,_Tolikas,_and_Molyneux.pdf (392.5 KB)   download : 35
subject   ĶĒ
The Impact of Regulatory Standards, Interest Rates and Trading Volume on Volatility Transmission between Cross-Listed European Equities
Koulakiotis, Dasilas, Tolikas, and Molyneux
Volume 10, Number 1, Spring 2009, pp. 89-105

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.  

Key Words: GARCH, volatility transmission, regulatory differences, trading volume, interest rates

hit : 5112      
prev ĶĒ
International Corporate Capital Structure: Dynamics and Determinants
NyoNyo A. Kyaw
Volume 10, Number 2, Fall 2009, pp. 1~38
next ĶĒ
Examining the Long Run Effects of Export, Import and FDI Inflows on the FDI Outflows from India: A Causality Analysis
Nandita Dasgupta
Volume 10, Number 1, Spring 2009, pp. 65-88
list