Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach
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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chelley-Steeley, Patricia L., 2005. "Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 818-831, September.
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
- Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
- Campbell R. Harvey, 1994.
"Predictable Risk and Returns in Emerging Markets,"
NBER Working Papers
4621, National Bureau of Economic Research, Inc.
- Kaplanis, Evi C., 1988. "Stability and forecasting of the comovement measures of international stock market returns," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 63-75, March.
- Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006.
"The emerging market crisis and stock market linkages: further evidence,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
- Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005. "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," IEPR Working Papers 05.27, Institute of Economic Policy Research (IEPR).
- Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
- Lence, Sergio & Falk, Barry, 2005.
"Cointegration, market integration, and market efficiency,"
Journal of International Money and Finance,
Elsevier, vol. 24(6), pages 873-890, October.
- Lence, Sergio H. & Falk, Barry L., 2005. "Cointegration, Market Integration, and Market Efficiency," Staff General Research Papers 11468, Iowa State University, Department of Economics.
- Pesaran, M. H. & Shin, Y., 1997.
"Generalised Impulse Response Analysis in Linear Multivariate Models,"
Cambridge Working Papers in Economics
9710, Faculty of Economics, University of Cambridge.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- Bernard, Andrew B & Durlauf, Steven N, 1995.
"Convergence in International Output,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 10(2), pages 97-108, April-Jun.
- Scheicher, Martin, 2001. "The Comovements of Stock Markets in Hungary, Poland and the Czech Republic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 27-39, January.
- Geert Bekaert & Campbell R. Harvey, 1994.
"Time-Varying World Market Integration,"
NBER Working Papers
4843, National Bureau of Economic Research, Inc.
- Rockinger, Michael & Urga, Giovanni, 2001. "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 73-84, January.
- Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-44.
- Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March.
- Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1253-1268.
- Kari Heimonen, 2002. "Stock market integration: evidence on price integration and return convergence," Applied Financial Economics, Taylor & Francis Journals, vol. 12(6), pages 415-429.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:22:y:2008:i:3:p:247-266. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.