Have volatility spillover effects of cointegrated European stock markets increased over time?

Abstract

In this study volatility spillover effects in preselected cointegrated European stock markets are investigated. The data generating processes are estimated by applying Vector-Auto Regression (VAR) models. Thereby, the impacts of volatility spillovers are measured by a new concept being denoted here as Volatility Impulse Response Density Functions (VIRDF) being an advancement of the Volatility Impulse Response Functions (VIRF) methodology. A sample-split analysis covering daily data from 26.11.1990-05.10.2000 and 06.10.2000-28.05.2010 reveals that the volatility spillover impact from the German stock market to the Swedish and British stock markets have increased by 73.87%, respectively, 15.52%.