IDEAS home Printed from
   My bibliography  Save this article

Does Volatility Respond Asymmetric To Past Shocks?


  • Claudiu BoÅ£oc


The main aim of the paper is to examine if the stock market volatility exhibits a symmetric or an asymmetric response to past shocks, for certain CEE countries (Romania, Hungary, Bulgaria, Poland) over the period May 2004 - September 2014. For the stock markets from East Europe the results are in line with the symmetric volatility, i.e. volatility is similar affected by both positive and negative returns with the same magnitude. For the stock markets from Central Europe the results are consistent with the leverage hypothesis of the asymmetric volatility, i.e. negative and positive returns with the same magnitude have different impact on volatility. Furthermore the volatility is more sensitive to its lagged values in the market place than it is to new information. These results reinforce the diversification principle that has to be considered in portfolio and risk management process.

Suggested Citation

  • Claudiu BoÅ£oc, 2014. "Does Volatility Respond Asymmetric To Past Shocks?," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(16), pages 1-5.
  • Handle: RePEc:alu:journl:v:2:y:2014:i:16:p:5

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    volatility; leverage effect; feedback hypothesis; CEE countries; GARCH;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:alu:journl:v:2:y:2014:i:16:p:5. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dan-Constantin Danuletiu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.