Region versus industry effects: volatility transmission

• Autores: Pilar Soriano Felipe, Francisco José Climent Diranzo
• Localización: Notas técnicas: [continuación de Documentos de Trabajo FUNCAS], ISSN-e 1988-8767, Nº. 228, 2005
• Idioma: inglés
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• Resumen

  • This paper has two main objectives. First, it analyses the relative importance of regional versus industrial effects, as opposed to country versus industrial effects, using a sample including the period after the bursting of the TMT bubble. Second, it analyses volatility transmission patterns within an industry across regions, in order to assess whether the same international linkages found in aggregate stock market indices exist at the industry level. The results confirm the overall dominance of regional effects over industry effects. In the volatility transmission analysis, the results are suggestive of spillovers, more or less important depending on the industry being analysed.