Modelling spillover effects between the UK and the US stock markets over the period 1935–2020

Journal article


Aladesanmi, O. (2020). Modelling spillover effects between the UK and the US stock markets over the period 1935–2020. Investment Analysts Journal. 49 (2), pp. 132-148. https://doi.org/10.1080/10293523.2020.1773143
AuthorsAladesanmi, O.
Abstract

This study investigates the spillovers of shocks and volatilities between the UK and the US stock markets over the period 1935–2020. The empirical analysis is carried out for the full sample and four subsample periods by applying the asymmetric GARCH-BEKK model. Based on the empirical
results, the evidence indicates that financial market linkages between the two markets have become stronger since the commencement of the European Monetary Union (EMU), which suggests that stronger financial market interactions and interdependence could increase the vulnerabilities of domestic markets to any global shocks and reduce the potential benefits of portfolio diversification.

This is an Accepted Manuscript of an article published by Taylor & Francis in Investment Analyst Journal on 26 June 2020, available online: http://www.tandfonline.com/10.1080/10293523.2020.1773143

KeywordsEconomics and Econometrics; Accounting; Finance
Year2020
JournalInvestment Analysts Journal
Journal citation49 (2), pp. 132-148
PublisherInforma UK Limited
ISSN1029-3523
2077-0227
Digital Object Identifier (DOI)https://doi.org/10.1080/10293523.2020.1773143
Publication dates
Online26 Jun 2020
Print02 Apr 2020
Publication process dates
Accepted12 May 2020
Deposited03 Jul 2020
Accepted author manuscript
License
File Access Level
Open
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https://openresearch.lsbu.ac.uk/item/8q0yy

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Submitted manuscript.pdf
License: CC BY 4.0
File access level: Open

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Related outputs

Stock market integration between the UK and the US: Evidence over eight decades
Aladesanmi, O, Casalin, F and Metcalf, H (2018). Stock market integration between the UK and the US: Evidence over eight decades. Global Finance Journal. 41, pp. 32-43. https://doi.org/10.1016/j.gfj.2018.11.005