Are there return and volatility spillovers from major bank stocks to the national stock market in the UK?

Dontis-Charitos, P., Gough, O., Nowman, K.B. and Sivaprasad, S. 2013. Are there return and volatility spillovers from major bank stocks to the national stock market in the UK? in: Jeon, B.N. and Olivero, M.P. (ed.) Global Banking, Financial Markets and Crises (International Finance Review, Vol. 14) Emerald. pp. 243 - 268

Chapter titleAre there return and volatility spillovers from major bank stocks to the national stock market in the UK?
AuthorsDontis-Charitos, P., Gough, O., Nowman, K.B. and Sivaprasad, S.
EditorsJeon, B.N. and Olivero, M.P.
Abstract

We investigate the return and volatility spillovers from major UK banks to Financial Times Stock Exchange 100 (FTSE 100) index using Gaussian estimation and continuous time models as well as discrete time multivariate GARCH (MGARCH) modelling approaches. Using daily, weekly and monthly data over the period December 1999–December 2010, which includes the recent 2007–2009 global financial crisis, empirical estimates of uni- and/or bi-directional return and volatility spillovers are provided. The bivariate MGARCH results reveal strong return spillovers from the FTSE to the banks, and no return spillover from the latter to the FTSE. Nevertheless, strong bi-directional volatility transmission is verified. The continuous time analysis provides mixed evidence of feedback effects over the different models.

Book titleGlobal Banking, Financial Markets and Crises (International Finance Review, Vol. 14)
Page range243 - 268
Year2013
PublisherEmerald
ISBN978-1-78350-170-0
Digital Object Identifier (DOI)doi:10.1108/S1569-3767(2013)0000014012

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