IDEAS home Printed from https://ideas.repec.org/a/alu/journl/v2y2014i16p5.html
   My bibliography  Save this article

Does Volatility Respond Asymmetric To Past Shocks?

Author

Listed:
  • Claudiu BoÅ£oc

Abstract

The main aim of the paper is to examine if the stock market volatility exhibits a symmetric or an asymmetric response to past shocks, for certain CEE countries (Romania, Hungary, Bulgaria, Poland) over the period May 2004 - September 2014. For the stock markets from East Europe the results are in line with the symmetric volatility, i.e. volatility is similar affected by both positive and negative returns with the same magnitude. For the stock markets from Central Europe the results are consistent with the leverage hypothesis of the asymmetric volatility, i.e. negative and positive returns with the same magnitude have different impact on volatility. Furthermore the volatility is more sensitive to its lagged values in the market place than it is to new information. These results reinforce the diversification principle that has to be considered in portfolio and risk management process.

Suggested Citation

  • Claudiu BoÅ£oc, 2014. "Does Volatility Respond Asymmetric To Past Shocks?," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(16), pages 1-5.
    • Handle: RePEc:alu:journl:v:2:y:2014:i:16:p:5
    as

    Download full text from publisher

    File URL: http://oeconomica.uab.ro/upload/lucrari/1620142/05.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. JUDE Octavian & TURGEMAN Avraham & BOȚOC Claudiu, 2023. "Recent Examination Of Energy Markets Volatility," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 18(1), pages 118-128, April.

    More about this item

    Keywords

    volatility; leverage effect; feedback hypothesis; CEE countries; GARCH;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:alu:journl:v:2:y:2014:i:16:p:5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dan-Constantin Danuletiu (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.