Abstract
We propose a spillover index of external connectedness that measures the outer influences among countries from estimated return volatilities of 645 European firms. We find that Gross Domestic Product per capita is directly related to this index, as countries with lower Gross Domestic Product per capita are influenced in a greater way than they influence others, while higher Gross Domestic Product per capita countries influence others more than they receive. From a risk management perspective, firms should quantify the influence from markets located in other countries, in order to predict possible future movements.
We want to have a special acknowledgement to “Fundación BBVA, ayudas a proyectos de investigación en Big Data”, AGAUR “PANDÈMIES” grant and the Spanish Ministry of Science grant PID2019-105986GB-C21 for their support to our research.
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Vidal-Llana, X., Uribe, J.M., Guillen, M. (2022). External Spillover Index and Its Relation with GDP per Capita on European Countries. In: Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022. Springer, Cham. https://doi.org/10.1007/978-3-030-99638-3_70
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