Impact of emerging technologies in banking and finance in Europe: A volatility spillover and contagion approach

Abstract

The empirical evidence suggests that stock returns in the emerging technology environment exhibit high stock return volatility. The fundamental aim of the article is to investigate the dynamic, time series properties of the correlations between daily log returns and magnitude of the volatility transmissions from the emerging technologies environment to the Spanish banking sector, the Spanish market portfolio and the finance industry in the EU area. Using daily log returns for the performance variables and an equally weighted index was constructed as proxy to represent the emerging technology phenomena covering a period from the 7th of July of 2015 to the 20th of September of 2019. The study applies generalized autoregressive conditional heteroskedasticity GARCH followed by the diagonal BEKK approach (...)