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Financial crises and volatility spillovers among emerging European equity markets

Author

Listed:
  • Ugur Ergun

    (Management Department, Faculty of Economics, International Burch University, BIH)

  • Zehra Mahmutović

    (Management Department, Faculty of Economics, International Burch University, BIH)

Abstract

Financial crisis not only have statistically but also economically significant impact on global equity market returns. This study analyzes whether current financial crisis affect the equity market returns of Balkan transition economies and what is the extent of such impact by employing Generalized Autoregressive Conditional Heteroscedasticity model is employed on daily data spans from 2006 to 2012 for three transition economies which are Bosnia-Herzegovina, Croatia and Serbia. Empirical result indicates that volatility of Serbian stock price is influenced by the volatility of Bosnian and Croatian stock prices. There is one way volatility transmission from Bosnian and Croatian stock markets to Serbian stock market. High degree of volatility is observed in the stock markets during latest financial crises.

Suggested Citation

  • Ugur Ergun & Zehra Mahmutović, 2014. "Financial crises and volatility spillovers among emerging European equity markets," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 2(4), pages 63-68, August.
    • Handle: RePEc:lrc:lareco:v:2:y:2014:i:4:p:63-68
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    More about this item

    Keywords

    Balkan transition economies; GARCH (1.1); Equity markets; Volatility spillover.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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