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- Title
SHOCKS SPILLOVER WITHIN EMERGING EASTERN EUROPEAN EQUITY MARKETS.
- Authors
POPA, Ioan; TUDOR, Cristiana; PARASCHIV, Dorel
- Abstract
We estimate a multivariate GARCH-BEKK model to examine the returns and volatility dynamics between post-communist CEE stock markets and two of the largest international equity markets (namely US and Germany) over the last decade (2004-2014), with an emphasizes on the credit-crunch crisis period (2007-2009). We find that Russia is the only market that does not present significant linkages with other markets in terms of return. An analysis of the crisis window reflects that the smaller CEE equity markets report much smaller GARCH coefficients, indicating that although shocks have the most important impact (highest a coefficients for Romania and Serbia), these shocks are not persistent and disappear quickly. Other findings show that past news in the Czech market persist more than shocks in the other markets, whilst the lowest persistence of shocks is encountered in Russia, thus implying it is the most stable market in terms of propagation, perhaps due to its low level of integration with the other equity markets included in the sample.
- Subjects
EUROPE; RATE of return on stocks; VOLATILITY (Securities); ECONOMIC shock; STOCK exchanges; GARCH model
- Publication
Economic Computation & Economic Cybernetics Studies & Research, 2015, Vol 49, Issue 1, p35
- ISSN
0424-267X
- Publication type
Article