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- W2166064128 abstract "Volatility transmission between a stock quoted in different markets is analysed in this paper. Evidence is found that the more global the commercial side of a firm, the more the volatility transmission. This fact supports the idea that volatility transmission between markets can be due to, among other reasons, the data generating process, in line with the model of Ito, Engle and Lin (1992). There may be other reasons behin volatility transmission, such as asymmetric information between agents and slow processing of information by the agents, but we find evidence that data generating processes could be of greater importance than market dynamics for explaining volatility transmission among stocks quoted in different markets." @default.
- W2166064128 created "2016-06-24" @default.
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- W2166064128 date "2000-01-01" @default.
- W2166064128 modified "2023-10-02" @default.
- W2166064128 title "Volatility Transmission Between Stock Markets" @default.
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- W2166064128 doi "https://doi.org/10.1007/978-3-642-57652-2_21" @default.
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