Advanced Search
MyIDEAS: Login to save this paper or follow this series

Spillover effect: A study for major capital markets and Romania capital market

Contents:

Author Info

  • Cristina Belciuganu
Registered author(s):

    Abstract

    In this paper we focus our attention on the tail risk and how different capital markets are influencing each other. Previous studies have detected return and volatility across countries during crises periods. Using the well-know Value at Risk (VaR) measure for heavy tailed financial returns, our objective is to detect if the information for a negative shock in a foreign market helps the forecast of the behavior of another market. We calculate 1 day, 95% and 99% Value at Risk for major US stock indices- S&P 500, NASDAQ 100, DJ INDUSTRIALS, major European stock indices – CAC 40, FTSE100, DAX30 and for Romanian stock index-BET. The VaR for each index is calculated the following techniques: Historical Simulation, Variance Approach and Extreme Value Theory. Spillover effects being the influence of one market on others, is examined using the Granger causality, for daily changes of the VAR series.

    Download Info

    If 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.
    File URL: http://www.dofin.ase.ro/Working%20papers/Belciuganu%20Cristina/belciuganu.cristina.dissertation.pdf
    File Function: First version, 2008
    Download Restriction: no

    Bibliographic Info

    Paper provided by Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB in its series Advances in Economic and Financial Research - DOFIN Working Paper Series with number 29.

    as in new window
    Length:
    Date of creation: Oct 2009
    Date of revision:
    Handle: RePEc:cab:wpaefr:29

    Contact details of provider:
    Postal: 6 ROMANA PLACE, 70167 - BUCHAREST
    Phone: 0040-01-2112650
    Fax: 0040-01-3129549
    Email:
    Web page: http://www.dofin.ase.ro/carfib/
    More information through EDIRC

    Related research

    Keywords: spillover effects; capital market;

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
    2. Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee.
    3. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cab:wpaefr:29. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ciprian Necula) The email address of this maintainer does not seem to be valid anymore. Please ask Ciprian Necula to update the entry or send us the correct address.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.