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The Impact of Stock Market Jumps on Time-Varying Return Correlations: Empirical Evidence from the Baltic Countries

  • Hellström, Jörgen

    ()

    (Umeå School of Business, Umeå University)

  • Soultanaeva, Albina

    ()

    (Department of Economics, Umeå University)

Registered author(s):

    In this paper we study the impact of market jumps on the time varying return correlations between stock market indices in the Baltic countries. An EARJI-EGARCH model facilitating direct modelling of the time varying return correlations is introduced. The empirical results indicate that there is a quite large number of identi…ed jumps in the emerging Baltic stock markets. The main …nding is that isolated market jumps in one of the markets generally have no or small e¤ects on the time-varying correlations. In contrast, simultaneous jumps of equal sign increase the average correlation, in some cases with as much as 100 percent.

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    File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=147224&languageId=3&assetKey=ues816
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    Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 816.

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    Length: 22 pages
    Date of creation: 21 Dec 2010
    Date of revision:
    Handle: RePEc:hhs:umnees:0816
    Contact details of provider: Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
    Phone: 090 - 786 61 42
    Fax: 090 - 77 23 02
    Web page: http://www.econ.umu.se/
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    1. Brännäs, Kurt & G De Gooijer, Jan & Lönnbark, Carl & Soultanaeva, Albina, 2007. "Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges," Umeå Economic Studies 725, Umeå University, Department of Economics.
    2. George M. von Furstenberg & Bang Nam Jeon, 1989. "International Stock Price Movements: Links and Messages," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(1), pages 125-180.
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