Spillover effect: A study for major capital markets and Romania capital market
In this paper we focus our attention on the tail risk and how different capital markets are influencing each other. Previous studies have detected return and volatility across countries during crises periods. Using the well-know Value at Risk (VaR) measure for heavy tailed financial returns, our objective is to detect if the information for a negative shock in a foreign market helps the forecast of the behavior of another market. We calculate 1 day, 95% and 99% Value at Risk for major US stock indices- S&P 500, NASDAQ 100, DJ INDUSTRIALS, major European stock indices – CAC 40, FTSE100, DAX30 and for Romanian stock index-BET. The VaR for each index is calculated the following techniques: Historical Simulation, Variance Approach and Extreme Value Theory. Spillover effects being the influence of one market on others, is examined using the Granger causality, for daily changes of the VAR series.
|Date of creation:||Oct 2009|
|Contact details of provider:|| Postal: 6 ROMANA PLACE, 70167 - BUCHAREST|
Web page: http://www.dofin.ase.ro/carfib/
More information through EDIRC
References listed on IDEAS
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.:
- Robert Engle, 2004.
"Risk and Volatility: Econometric Models and Financial Practice,"
American Economic Review,
American Economic Association, vol. 94(3), pages 405-420, June.
- Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
- Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:cab:wpaefr:29. 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: (Ciprian Necula)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.