Testing the covariance stationarity of CEE stocks
AbstractThis paper investigates whether the daily stock returns of the Polish, Czech and Hungarian stock markets are covariance stationary. Using the Pagan – Schwert (1990) and Loretan – Phillips (1994) testing procedures, we show that contrary to the widely accepted assumption of covariance stationarity, the stock returns in Central and Eastern European (CEE) stock markets do not appear to be covariance stationary. Our results further suggest that the occurrence of unconditional volatility shifts appears to be synchronized across stocks.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 43432.
Date of creation: 26 Dec 2012
Date of revision:
covariance stationarity; unconditional volatility; volatility regimes; CEE stock markets;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-12 (All new papers)
- NEP-FMK-2013-01-12 (Financial Markets)
- NEP-TRA-2013-01-12 (Transition Economics)
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