Saliba, Karim Khalil
(Notre Dame University-Louaize, 2020-02)
Purpose – This thesis has two objectives. The first one is to test empirically the level of interdependence across major stock markets returns, namely, US, EU, and Asia in terms of return and volatility spillover. The second one is to evaluate the impact of news announcements on their stock market volatility.
Design/methodology/approach – To model the volatility of the three above mentioned stock markets we apply a battery of univariate time series models from the GARCH family. Dickey Fuller unit root test is used in order to ensure that the three return series are stationary. The mean equation ...