Threshold Modelling of Stock Return Volatility on Eastern European Markets
AbstractA 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 markets and possible reasons for this are proposed. Copyright 1997 by Kluwer Academic Publishers
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Bibliographic InfoArticle provided by Springer in its journal Economics of Planning.
Volume (Year): 30 (1997)
Issue (Month): 2-3 ()
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Web page: http://www.springerlink.com/link.asp?id=113294
Other versions of this item:
- Kalvinder Shields, 1997. "Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2), pages 107-125, May.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- P21 - Economic Systems - - Socialist Systems and Transition Economies - - - Planning, Coordination, and Reform
- P34 - Economic Systems - - Socialist Institutions and Their Transitions - - - Finance
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