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Stock Return Volatility on Emerging Eastern European Markets

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  • Shields, Kalvinder K

Abstract

A common finding for developed stock markets is that negative shocks entering the market lead to a larger return volatility than positive shocks of a similar magnitude. The following paper considers two emerging Eastern European markets where the first point of investigation is whether an analogous asymmetric characteristic is reflected in emerging markets. The second point of investigation is whether the findings differ depending on the institutional microstructure of the exchange being examined. Hence, econometric techniques are adjusted and a 'double-censored tobit GARCH' model is developed. This paper finds that no asymmetry exists on either emerging market but does exist for a stock return series on the developed market; possible reasons for this are proposed. Copyright 1997 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Bibliographic Info

Article provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 65 (1997)
Issue (Month): 0 (Supplement)
Pages: 118-38

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Handle: RePEc:bla:manch2:v:65:y:1997:i:0:p:118-38

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Cited by:
  1. Shields, Kalvinder K, 1997. " Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 107-25.
  2. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  3. Ewa Majerowska, . "Validity of the optimal portfolio allocation model with price constraints on the example of the Warsaw Stock Exchange," Discussion Papers in European Economics 99/5, Department of Economics, University of Leicester.
  4. Charemza, Wojciech W. & Majerowska, Ewa, 2000. "Regulation of the Warsaw Stock Exchange: The portfolio allocation problem," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 555-576, April.
  5. Hyytinen, Ari, 1999. "Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry," Research Discussion Papers 19/1999, Bank of Finland.

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