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Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

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Author Info

  • Brännäs, Kurt

    ()
    (Department of Economics, Umeå University)

  • G De Gooijer, Jan

    ()
    (Department of Quantitative Economics)

  • Lönnbark, Carl

    ()
    (Department of Economics, Umeå University)

  • Soultanaeva, Albina

    ()
    (Department of Economics, Umeå University)

Abstract

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find recursive structures with Riga directly depending in returns on Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities both Riga and Vilnius depend on Tallinn. In addition, we find evidence of asymmetric effects arising in Moscow and in Baltic state shocks on both returns and volatilities.

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Bibliographic Info

Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 725.

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Length: 19 pages
Date of creation: 16 Nov 2007
Date of revision:
Handle: RePEc:hhs:umnees:0725

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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
Email:
Web page: http://www.econ.umu.se/
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Related research

Keywords: Time series; nonlinear; multivariate; finance; value at risk; portfolio allocation;

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Cited by:
  1. Soultanaeva, Albina, 2008. "Impact of Political News on the Baltic State Stock Markets," UmeÃ¥ Economic Studies 735, Umeå University, Department of Economics.
  2. Hellström, Jörgen & Soultanaeva, Albina, 2010. "The Impact of Stock Market Jumps on Time-Varying Return Correlations: Empirical Evidence from the Baltic Countries," UmeÃ¥ Economic Studies 816, Umeå University, Department of Economics.

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