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Empirical Economics

, Volume 57, Issue 2, pp 423–448 | Cite as

Time-varying contemporaneous spillovers during the European Debt Crisis

  • Marinela Adriana FintaEmail author
  • Bart Frijns
  • Alireza Tourani-Rad
Article
  • 82 Downloads

Abstract

This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects.

Keywords

Contemporaneous spillovers Financial crises Euro Area 

JEL Classification

G1 G01 C32 C58 

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  • Marinela Adriana Finta
    • 1
    Email author
  • Bart Frijns
    • 2
  • Alireza Tourani-Rad
    • 2
  1. 1.Sim Kee Boon Institute for Financial Economics, Lee Kong Chian School of BusinessSingapore Management University, Administration BuildingSingaporeSingapore
  2. 2.Department of FinanceAuckland University of TechnologyAucklandNew Zealand

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