Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices
AbstractThe 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.
Download InfoIf 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.
Bibliographic InfoPaper 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:
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
Web page: http://www.econ.umu.se/
More information through EDIRC
Estonia; Latvia; Lithuania; Time series; Estimation; Finance;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-FIN-2006-09-30 (Finance)
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.:
- Brannas, K. & Ohlsson, H., 1995.
"Asymmetric Cycles and Temporal Aggregation,"
1995-11, Uppsala - Working Paper Series.
- Geert Bekaert & Campbell R. Harvey, 1997.
"Emerging Equity Market Volatility,"
NBER Working Papers
5307, National Bureau of Economic Research, Inc.
- Brännäs, Kurt & Nordman, Niklas, 2001.
"Conditional Skewness Modelling for Stock Returns,"
UmeÃ¥ Economic Studies
562, Umeå University, Department of Economics.
- 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.
- Jan G. De Gooijer & Kurt Brännäs, 2004. "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
- Brännäs, Kurt & de Gooijer, Jan G., 2000. "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," UmeÃ¥ Economic Studies 535, Umeå University, Department of Economics.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Kurt Brännäs & Niklas Nordman, 2001.
"An Alternative Conditional Asymmetry Specification for Stock Returns,"
CESifo Working Paper Series
448, CESifo Group Munich.
- Kurt Brannas & Niklas Nordman, 2003. "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 537-541.
- Brännäs, Kurt & Nordman, Niklas, 2001. "An Alternative Conditional Asymmetry Specification for Stock Returns," UmeÃ¥ Economic Studies 556, Umeå University, Department of Economics.
- 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.
- 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.
- Hermes, Niels & Lensink, Robert, 2000. "Financial system development in transition economies," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 507-524, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kjell-Göran Holmberg).
If references are entirely missing, you can add them using this form.