Estimating the price and volatility spillover effects of the representative European capital markets

This paper uses the multivariate EGARCH model to examine price and volatility spillover effects across the representative European capital markets with United Kingdom, France and Germany during the post-period of euro introduction. The empirical results disclose the obvious positive and negative price spillover effect across the FTSE 100, CAC 40 and DAX index, but the volatility spillover effect is found to be insignificant. The volatility in each capital market has obviously clustering and asymmetric effects, expect asymmetric effect in the German capital market. Therefore, the euro introduction raises price spillover effect, but do not enhance volatility spillover effect in the European capital market.