Title:

Linkages between American and European publicly traded airline companies – evidence resulting from the Diebold-Yilmaz method

Group publication title:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Title in english:

Powiązania pomiędzy notowaniami amerykańskich i europejskich linii lotnicznych – wnioski z metody Diebolda i Yilmaza

Creator:

Łęt, Blanka

Subject and Keywords:

airlines ; connectedness ; Diebold-Yilmaz approach ; spillovers ; linie lotnicze ; powiązania ; metoda Diebloda-Yilmaza ; zarażanie

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2020; vol. 64, nr 4, s. 101-114

Abstrakt:

In this paper, the author implemented the Diebold and Yilmaz approach to analyse the connectedness between the major American and European publicly traded airline companies. The author calculated the return and volatility spillover index for the whole sample using a dynamic rolling sample analysis. The results show that all airlines are significantly linked but there is a clear division into two markets. It was found that return spillovers are more intensive than volatility spillovers. Moreover, the average connectedness level is higher in the U.S. market for returns as well as for volatility. An increase of connectedness occurred due to the certain events: issues linked with the condition of the global economy and long-term crude oil price changes

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2020

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/pn.2020.4.08

Language:

eng

Relation:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2020; vol. 64, nr 4

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu