“To what extent are stock returns driven by mean and volatility spillover effects”?-Evidence from eight European stock markets
The paper investigates the mean and volatility spillover effects from U.S and EU stock markets as well as oil price market into national stock markets of eight European countries. The study finds strong indication of volatility spillover effects from global US, regional EU, and world factor oil towards individual stock markets. While both mean and volatility spillover transmissions from the U.S ar