News and Correlations of CEEC-3 Financial Markets
We investigate conditional correlations between six CEEC-3 financial markets estimated by DCC-MGARCH models. In general, the highest correlations exist between Hungary and Poland in foreign exchange and stock markets. Short-term money markets are rather isolated from each other. We find that the associations of CEEC-3 exchange rates versus the euro are weaker than those versus the US dollar. The persistence of the effect of shocks on the timevarying correlations is strongest for foreign exchange and stock markets, indicating a tendency toward contagion. In searching for the origins of financial market volatility in the CEEC-3, we uncover some evidence of Granger-causality on the foreign exchange markets. Finally, using a pool model, we investigate the impact of euro area, US, and CEEC-3 news on the correlations. Apart from ECB monetary policy news, we observe no broad effects of international news on correlations; instead, local news exerts an influence, which suggests adominance of country- or market-specific circumstances.
|Date of creation:||2009|
|Date of revision:|
|Publication status:||Forthcoming in|
|Contact details of provider:|| Postal: |
Web page: http://www.uni-marburg.de/fb02/
More information through EDIRC
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.:
- Bernd Hayo, 1998.
"Money-Output Granger Causality Revisited: An Empirical Analysis of EU Countries,"
- Bernd Hayo, 1999. "Money-output Granger causality revisited: an empirical analysis of EU countries," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1489-1501.
- Hayo, Bernd, 1998. "Money-output Granger causality revisited: An empirical analysis of EU countries," ZEI Working Papers B 08-1998, ZEI - Center for European Integration Studies, University of Bonn.
- Balazs Egert & Evzen Kocenda, 2005.
"Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data,"
William Davidson Institute Working Papers Series
wp798, William Davidson Institute at the University of Michigan.
- Egert, Balazs & Kocenda, Evzen, 2007. "Interdependence between Eastern and Western European stock markets: Evidence from intraday data," Economic Systems, Elsevier, vol. 31(2), pages 184-203, June.
- Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Econometric Society, vol. 59(3), pages 817-58, May.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, March.
- Jan Hanousek & Evzen Kocenda & Ali M. Kutan, 2008.
"The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data,"
CERGE-EI Working Papers
wp349, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
- Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
- Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008.
"Multivariate GARCH models,"
CREATES Research Papers
2008-06, School of Economics and Management, University of Aarhus.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.
- Serwa, Dobromil & Bohl, Martin T., 2005. "Financial contagion vulnerability and resistance: A comparison of European stock markets," Economic Systems, Elsevier, vol. 29(3), pages 344-362, September.
- David Büttner & Bernd Hayo & Matthias Neuenkirch, 2012.
"The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland,"
Springer, vol. 39(1), pages 19-44, February.
- David Büttner & Bernd Hayo & Matthias Neuenkirch, 2009. "The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland," MAGKS Papers on Economics 200903, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Didier, Tatiana & Mauro, Paolo & Schmukler, Sergio L., 2008. "Vanishing financial contagion?," Journal of Policy Modeling, Elsevier, vol. 30(5), pages 775-791.
- Sunil Sharma & Sushil Bikhchandani, 2000. "Herd Behavior in Financial Markets: A Review," IMF Working Papers 00/48, International Monetary Fund.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, .
"Multivariate GARCH models: a survey,"
CORE Discussion Papers RP
-1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 572-588, October.
- Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1299-1316, December.
- Fazio, Giorgio, 2007. "Extreme interdependence and extreme contagion between emerging markets," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1261-1291, December.
- D B�ttner & B. Hayo, 2012.
"EMU-related news and financial markets in the Czech Republic, Hungary and Poland,"
Taylor & Francis Journals, vol. 44(31), pages 4037-4053, November.
- David Büttner & Bernd Hayo, 2008. "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," MAGKS Papers on Economics 200815, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1206-1228, November.
- MacKinnon, James G. & White, Halbert, 1985.
"Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties,"
Journal of Econometrics,
Elsevier, vol. 29(3), pages 305-325, September.
- James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
- Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 297-310, November.
- Roberto Rigobon, 2001.
"Contagion: How to Measure It?,"
NBER Working Papers
8118, National Bureau of Economic Research, Inc.
- Ranil Salgado & Luca Antonio Ricci & Francesco Caramazza, 2000. "Trade and Financial Contagion in Currency Crises," IMF Working Papers 00/55, International Monetary Fund.
- Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-84, December.
When requesting a correction, please mention this item's handle: RePEc:mar:magkse:200944. 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: (Bernd Hayo)
If references are entirely missing, you can add them using this form.