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Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets

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Author Info

  • Kurt Brannas

    (Umeå University)

  • Albina Soultanaeva

    (Umeå University)

Abstract

The impact of news from the Moscow and New York stock exchanges on the daily returns and volatilities of Baltic stock market indices is studied. A nonlinear time series model that accounts for asymmetries in conditional mean and variance functions is used for the empirical work. News from New York has stronger effects on returns in Tallinn than news from Moscow. High-risk shocks in New York have a stronger impact on volatility in Tallinn, whereas volatility in Vilnius is more influenced by high-risk shocks from Moscow. Riga seems not to be affected by news arriving from abroad.

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Bibliographic Info

Article provided by Baltic International Centre for Economic Policy Studies in its journal Baltic Journal of Economics.

Volume (Year): 11 (2011)
Issue (Month): 1 (July)
Pages: 109-124

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Handle: RePEc:bic:journl:v:11:y:2011:i:1:p:109-124

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Related research

Keywords: Estonia; Latvia; Lithuania; Time series; Estimation; Finance;

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  1. Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 62(4), pages 639-61, October.
  2. Kurt Brännäs & Henry Ohlsson, 1999. "Asymmetric Time Series and Temporal Aggregation," The Review of Economics and Statistics, MIT Press, vol. 81(2), pages 341-344, May.
  3. Brännäs, Kurt & de Gooijer, Jan G., 2000. "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," UmeÃ¥ Economic Studies 535, Umeå University, Department of Economics.
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  10. Gregory Koutmos, 1999. "Asymmetric index stock returns: evidence from the G-7," Applied Economics Letters, Taylor & Francis Journals, vol. 6(12), pages 817-820.
  11. Rockinger, Michael & Urga, Giovanni, 2001. "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 73-84, January.
  12. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July.
  13. Koutmos, Gregory, 1998. "Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 277-290, May.
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