Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe
AbstractThe purpose of this study is threefold. First, we look at the linkages between Eastern European emerging equity markets and Russia. Second, we investigate the relationships between the currency markets of Poland, Hungary, Russia, and the Czech Republic. Finally, we examine the interdependence between Emerging Eastern European and Russian equity and currency markets. We estimate a bivariate GARCH-BEKK model proposed by Engle and Kroner (1995) using weekly returns. We find evidence of direct linkages between the equity markets in terms of both returns and volatility, as well as in the currency markets. When analyzing the relationships between currency and stock markets we find unidirectional volatility spillovers from currency to stock markets. The results show clear evidence of integration of Eastern European markets within the region and with Russia as well.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.
Volume (Year): 60 (2010)
Issue (Month): 6 (December)
GARCH-BEKK; volatility spillovers; stock market; currency market; Emerging Eastern Europe; Russia;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sheng-Yung Yang & Shuh-Chyi Doong, 2004. "Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 139-153, August.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Elena Fedorova & Mika Vaihekoski, 2009.
"Global and Local Sources of Risk in Eastern European Emerging Stock Markets,"
Czech Journal of Economics and Finance (Finance a uver),
Charles University Prague, Faculty of Social Sciences, vol. 59(1), pages 2-19, January.
- Fedorova, Elena & Vaihekoski, Mika, 2008. "Global and local sources of risk in Eastern European emerging stock markets," BOFIT Discussion Papers 27/2008, Bank of Finland, Institute for Economies in Transition.
- Saleem, Kashif & Vaihekoski, Mika, 2007. "Time-varying global and local sources of risk in Russian stock market," MPRA Paper 5787, University Library of Munich, Germany.
- Saleem, Kashif & Vaihekoski, Mika, 2008. "Pricing of global and local sources of risk in Russian stock market," Emerging Markets Review, Elsevier, vol. 9(1), pages 40-56, March.
- Maria Kasch-Haroutounian & Simon Price, 2001. "Volatility in the transition markets of Central Europe," Applied Financial Economics, Taylor and Francis Journals, vol. 11(1), pages 93-105.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- repec:qut:dpaper:077 is not listed on IDEAS
- Ülkü, Numan & Demirci, Ebru, 2012. "Joint dynamics of foreign exchange and stock markets in emerging Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 55-86.
- Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013.
"Sectoral equity returns and portfolio diversification opportunities across the GCC region,"
43687, University Library of Munich, Germany.
- Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013. "Sectoral equity returns and portfolio diversification opportunities across the GCC region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 33-48.
- Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.
- Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
- Hatice Ozer Balli & Faruk Balli & Rosmy Jean Louis, 2013. "Time-Varying Spillover Effects on Sectoral Equity Returns," International Review of Finance, International Review of Finance Ltd., vol. 13(1), pages 67-91, 03.
- Fedorova, Elena, 2011. "Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective," BOFIT Discussion Papers 24/2011, Bank of Finland, Institute for Economies in Transition.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova).
If references are entirely missing, you can add them using this form.