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Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach

  • Li, Hong
  • Majerowska, Ewa
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    This paper examines the linkages between the emerging stock markets in Warsaw and Budapest and the established markets in Frankfurt and the U.S. By using a four-variable asymmetric GARCH-BEKK model, we find evidence of returns and volatility spillovers from the developed to the emerging markets. However, as the estimated time-varying conditional covariances and the variance decompositions indicate limited interactions among the markets, the emerging markets are weakly linked to the developed markets. The implication is that foreign investors may benefit from the reduction of risk by adding the stocks in the emerging markets to their investment portfolio.

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    File URL: http://www.sciencedirect.com/science/article/B7CPK-4P5R634-1/2/d82883daea3e19cd11d8c4e912777658
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    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 22 (2008)
    Issue (Month): 3 (September)
    Pages: 247-266

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    Handle: RePEc:eee:riibaf:v:22:y:2008:i:3:p:247-266
    Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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