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Volatility in the transition markets of Central Europe

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  • Maria Kasch-Haroutounian
  • Simon Price

Abstract

This study adds evidence from the four emerging markets of Central Europe relevant to the econometric modelling of financial time series by modelling volatility in these markets. The sample has all the previously documented characteristics of the unconditional distribution of stock returns normally used to justify the use of the GARCH class of models of conditional volatility. Both univariate and multivariate models are considered. Strong GARCH effects are apparent in all series examined. The estimates of asymmetric models of conditional volatility show rather weak evidence of asymmetries in the markets. The results of the multivariate specifications of volatility have implication for understanding the pattern of information flow between the markets. The constant correlation specification indicates significant conditional correlations between two pairs of countries: Hungary and Poland, and Hungary and Czech Republic. The BEKK model of multivariate volatility shows evidence of return volatility spillovers from Hungary to Poland, but no volatility spillover effects are found in the opposite direction.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 11 (2001)
Issue (Month): 1 ()
Pages: 93-105

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Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:93-105

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Cited by:
  1. repec:lan:wpaper:2452 is not listed on IDEAS
  2. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
  3. Dritan Gjika & Roman Horvath, 2012. "Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model," William Davidson Institute Working Papers Series wp1035, William Davidson Institute at the University of Michigan.
  4. S Zhang & I Paya & D Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Working Papers 599248, Lancaster University Management School, Economics Department.
  5. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
  6. Elena Fedorova & Kashif Saleem, 2010. "Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 519-533, December.
  7. Dragan Tevdovski, 2014. "Extreme negative coexceedances in South Eastern European stock markets," CREATES Research Papers 2014-18, School of Economics and Management, University of Aarhus.
  8. Aymen Ben Rejeb, 2013. "Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 33(1), pages 56-71.
  9. Horvath, Roman & Petrovski, Dragan, 2013. "International stock market integration: Central and South Eastern Europe compared," Economic Systems, Elsevier, vol. 37(1), pages 81-91.
  10. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
  11. Gjika, Dritan & Horváth, Roman, 2013. "Stock market comovements in Central Europe: Evidence from the asymmetric DCC model," Economic Modelling, Elsevier, vol. 33(C), pages 55-64.
  12. Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," BOFIT Discussion Papers 8/2008, Bank of Finland, Institute for Economies in Transition.
  13. repec:wdi:papers:2011-1028 is not listed on IDEAS
  14. repec:lan:wpaper:2371 is not listed on IDEAS
  15. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 513-525.
  16. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  17. Jian Yang, 2006. "Information transmission between Eurocurrency and domestic interest rates: evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 16(9), pages 675-685.
  18. repec:lan:wpaper:2594 is not listed on IDEAS
  19. Jian Yang & Jin Zhang & David J. Leatham, 2003. "Price and Volatility Transmission in International Wheat Futures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 37-50, May.

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