Premium
Time‐Varying Spillover Effects on Sectoral Equity Returns
Author(s) -
Balli Hatice Ozer,
Balli Faruk,
Louis Rosmy Jean
Publication year - 2013
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/j.1468-2443.2011.01143.x
Subject(s) - spillover effect , equity (law) , volatility (finance) , economics , monetary economics , financial sector , financial economics , equity capital markets , econometrics , macroeconomics , finance , private equity , political science , law
In this paper, we investigate the integration of the E uro‐ and US ‐wide sector equity indices by focusing on the return, volatility, and trend spillover effects of local and global shocks. We explore that unlike volatility spillovers, return spillovers are not significant enough to explain sector equity returns. Moreover, we are able to show that when the trend is incorporated into the volatility spillover analysis, a number of sector equity indices tend to react similarly to local and global shocks. Following this path, we arrive at four major sector groups: production and industry; consumer goods and services; financial; and technology, media, and telecommunication across E uro‐ and US ‐wide sector equity indices.