Risk contagion in the north-western and southern European stock markets

@inproceedings{Arajo2015RiskCI,
  title={Risk contagion in the north-western and southern European stock markets},
  author={Andr{\'e} Ara{\'u}jo and Maria Teresa Medeiros Garcia},
  year={2015}
}
The paper examines risk spillover among major European, American and Japanese stock exchanges using daily stock prices from 1998 to 2011 period. More specifically, we focus more on risk spillover among major north-western stock markets (i.e. France, Germany, and United Kingdom) and southern European stock markets (Greece, Italy, Portugal, and Spain). The main motivation of the study is to use the idea of rapidly increasing interconnectedness of major stock exchanges around the World to detect… CONTINUE READING

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