Returns and volatility connectedness among the Eurozone equity markets
使用TVP-VAR模型研究欧元区国家股票市场间的收益和波动率连通性，发现最发达市场是冲击的净传递者，而立陶宛、斯洛文尼亚和斯洛伐克等较不发达市场更容易受到风险影响。
Abstract The rising degree of integration among different countries around the world calls for the examination of cross‐country connectedness across equity markets. Moreover, the interconnection among some countries – bound by their common economic policies, treaties and agreements, such as Eurozone countries – is stronger than among others. Strong inter‐country ties may cause an intense connectedness among their financial systems. This study examines the returns and volatility connectedness among the equity markets of the Eurozone countries. Using the TVP‐VAR model, we document strong connectedness among their stock markets. The net transmitters of shocks are the most developed Eurozone stock markets, while Lithuania, Slovenia and Slovakia are among the most vulnerable to risks from the more developed Eurozone economies. Thus, for any event that triggers risk transmission across the Eurozone equity markets, equity investors in less developed countries will be more vulnerable to risks from the nine more developed economies.