Spillover of fear: Evidence from the stock markets of five developed countries
IC Tsai - International Review of Financial Analysis, 2014 - Elsevier
This study investigates the spillover effect in five leading stock markets (ie, the United States,
the United Kingdom, Germany, Japan, and France). It estimates the spillover indices of these
countries and finds that information transmission between these stock markets increases
considerably after 1998. Germany and the United States are the main stock markets
conveying information to other international markets. Germany primarily influences the
French stock market, and the United States significantly influences many other stock …
the United Kingdom, Germany, Japan, and France). It estimates the spillover indices of these
countries and finds that information transmission between these stock markets increases
considerably after 1998. Germany and the United States are the main stock markets
conveying information to other international markets. Germany primarily influences the
French stock market, and the United States significantly influences many other stock …
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