Spillover Effects in the Swedish Equity Market. A study of global, regional and local effects within different industrial sectors
The purpose of this paper is to study the dynamics og interaction between equity markets in the US, the EMU and Sweden. We apply an extended AR-GARCH model to the index returns of various industries to capture mean and volatility spillover effects, as well as heteroskedastic variance. We find strong evidence of both mean and volatility spillover from both the US and the EMU into the Swedish market
