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Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices

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Author Info

  • Brännäs, Kurt

    ()
    (Department of Economics, Umeå University)

  • Soultanaeva, Albina

    ()
    (Department of Economics, Umeå University)

Abstract

The impact of news of the Moscow and New York stock market exchanges on the returns and volatilities of the Baltic state stock market indices is studied using daily return data for the period of 2000-2005. A nonlinear time series model that accounts for asymmetries in the conditional mean and variance functions is used for the em- pirical work. News from New York have stronger effect on returns in Tallinn, than news from Moscow. High risk shocks in New York have a strong impact on volatility in Tallinn, whereas volatility of Vilnius is more influenced by high risk shocks from Moscow. Riga seems to be autonomous to news arriving from abroad.

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Bibliographic Info

Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 696.

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Length: 22 pages
Date of creation: 18 Sep 2006
Date of revision:
Handle: RePEc:hhs:umnees:0696

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Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
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Web page: http://www.econ.umu.se/
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Keywords: Estonia; Latvia; Lithuania; Time series; Estimation; Finance;

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  1. Brannas, K. & Ohlsson, H., 1995. "Asymmetric Cycles and Temporal Aggregation," Papers 1995-11, Uppsala - Working Paper Series.
  2. Geert Bekaert & Campbell R. Harvey, 1997. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  3. Brännäs, Kurt & Nordman, Niklas, 2001. "Conditional Skewness Modelling for Stock Returns," UmeÃ¥ Economic Studies 562, Umeå University, Department of Economics.
  4. Kurt Brännäs & Jan G. de Gooijer, 2000. "Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH," Tinbergen Institute Discussion Papers 00-049/4, Tinbergen Institute.
  5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  6. Kurt Brännäs & Niklas Nordman, 2001. "An Alternative Conditional Asymmetry Specification for Stock Returns," CESifo Working Paper Series 448, CESifo Group Munich.
  7. Kairys, Joseph Jr. & Kruza, Raimonds & Kumpins, Ritvars, 2000. "Winners and losers from the introduction of continuous variable price trading: Evidence from the Riga Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 603-624, April.
  8. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  9. Hermes, Niels & Lensink, Robert, 2000. "Financial system development in transition economies," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 507-524, April.
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