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Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets

Author

Listed:
  • Kurt Brannas

    (Umeå University)

  • Albina Soultanaeva

    (Umeå University)

Abstract

The impact of news from the Moscow and New York stock exchanges on the daily returns and volatilities of Baltic stock market indices is studied. A nonlinear time series model that accounts for asymmetries in conditional mean and variance functions is used for the empirical work. News from New York has stronger effects on returns in Tallinn than news from Moscow. High-risk shocks in New York have a stronger impact on volatility in Tallinn, whereas volatility in Vilnius is more influenced by high-risk shocks from Moscow. Riga seems not to be affected by news arriving from abroad.

Suggested Citation

  • Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
  • Handle: RePEc:bic:journl:v:11:y:2011:i:1:p:109-124
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    References listed on IDEAS

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    More about this item

    Keywords

    Estonia; Latvia; Lithuania; Time series; Estimation; Finance;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 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

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