Impact of emerging technologies in banking and finance in Europe: A volatility spillover and contagion approach1

The empirical evidence suggests that stock returns in the emerging technology environment exhibit high return volatility. fundamental aim of article is to investigate dynamic, time series properties correlations between daily log and magnitude volatility transmissions from technologies Spanish banking sector, market portfolio finance industry EU area. Using for performance variables an equally weighted index was constructed as proxy represent phenomena covering a period 7th July 2015 20th September 2019. study applies generalized autoregressive conditional heteroskedasticity GARCH followed by diagonal BEKK approach. One key finding important capturing area through significant clustering, spillover persistence. Results very large relatively low ARCH effects indicating long persistence resulting shocks over Broadly, sector seems be most exposed spillover. Nevertheless, it across which more affected terms cross – point view. Additionally, periods provide insights about increased integration From investor perspective, one implication adding stocks different does not necessarily lead risk reduction.