Andrikopoulos, Andreas and Angelidis, Timotheos and Skintzi, Vasiliki (2012): Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers.
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Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock market has been explored in terms of volatility and return spillovers, there has been no combined analysis of return, volatility and illiquidity spillovers. We study illiquidity spillovers because they are transmissions of trading activity and, thereof, transmissions of information and market sentiment. We discover Granger-causal associations between risk, return and illiquidity across G7 stock market and also within each stock market. Our findings bear significance for the regulation of international financial markets and also for international portfolio diversification.
|Item Type:||MPRA Paper|
|Original Title:||Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers|
|Keywords:||Illiquidity spillovers; return spillovers; volatility spillovers; VAR; G7 stock markets|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets|
|Depositing User:||Timotheos / T ANGELIDIS|
|Date Deposited:||11. Jul 2012 12:18|
|Last Modified:||13. Feb 2013 14:04|
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