ABSTRACT This study investigates the spillovers of shocks and volatilities between the UK and the US stock markets over the period 1935–2020. The empirical analysis is carried out for the full sample and four subsample periods by applying the asymmetric GARCH-BEKK model. Based on the empirical results, the evidence indicates that financial market linkages between the two markets have become stronger since the commencement of the European Monetary Union (EMU), which suggests that stronger financial market interactions and interdependence could increase the vulnerabilities of domestic markets to any global shocks and reduce the potential benefits of portfolio diversification.

中文翻译：

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模拟1935年至2020年期间英国和美国股票市场之间的溢出效应

摘要这项研究调查了1935年至2020年期间英国和美国股市之间的冲击和波动性溢出效应。通过应用非对称GARCH-BEKK模型，对整个样本周期和四个子样本周期进行了经验分析。根据经验结果，证据表明，自欧洲货币联盟（EMU）成立以来，两个市场之间的金融市场联系已变得更加牢固，这表明更强大的金融市场互动和相互依存关系可能会增加国内市场对任何市场的脆弱性。全球冲击并降低投资组合多元化的潜在利益。