Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global

Abstract

This study analyzes the short-term connections and the transmission of intraday volatility across seven European markets, particularly Germany (DAX), Spain (IBEX 35), France (CAC 40), Greece (ATG), Ireland (ISEQ), Portugal (PSI 20) and the UK (FTSE 100), from 24/01/2000 to 30/06/2011. This study uses a vector autoregressive model, the concept of Granger causality and impulse response functions, in order to understand whether the global financial crisis changes the short- term connections and the intraday volatility transmission process.