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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Publisher Info
Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number
696.
Length: 22 pages Date of creation: 18 Sep 2006 Date of revision: Handle: RePEc:hhs:umnees:0696
Contact details of provider: Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden Phone: 090 - 786 61 42 Fax: 090 - 77 23 02 Email: Web page: http://www.econ.umu.se/ More information through EDIRC
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