Shock and Volatility Transmissions between Bank Stock Returns in Romania: Evidence from a VARGARCH Approach
AbstractWe develop a VAR-GRACH approach to invesigate shock and volatility transmissions between bank stock returns in Romania during the 2007-2009 international financial crisis.Our findings provide eveidence of significant shock and volatility transmissions between Romanian bank returns.We also show how our empirical results can be used to build effective diversification and hedging strategies.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-095.
Length: 12 pages
Date of creation: 12 Feb 2014
Date of revision:
Shock and volatility transmission; financial crisis; Romanian banks.;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- P2 - Economic Systems - - Socialist Systems and Transition Economies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-21 (All new papers)
- NEP-BAN-2014-02-21 (Banking)
- NEP-ETS-2014-02-21 (Econometric Time Series)
- NEP-FMK-2014-02-21 (Financial Markets)
- NEP-RMG-2014-02-21 (Risk Management)
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