Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/65907
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ivanov, Mile | - |
dc.date.accessioned | 2020-12-16T10:05:28Z | - |
dc.date.available | 2020-12-16T10:05:28Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Ivanov, M. (2014). Volatility spillovers and stock market co-movements among Western, Central and Southeast European stock markets. Journal of Corporate Governance, Insurance and Risk Management, 1(1), 44-68. | en_GB |
dc.identifier.issn | 2757-0983 | - |
dc.identifier.uri | https://www.um.edu.mt/library/oar/handle/123456789/65907 | - |
dc.description.abstract | The aim of this paper is to examine the return and volatility spillovers and stock market co-movements among Western, Central and Southeast European stock markets. To examine the volatility spillover effects we employ a multivariate GARCH-BEKK (1, 1) model on a daily data from 2005 to 2014. There is a high and stable conditional correlation between Central and Western European markets during most of the analyzed period and the conditional correlation rises sharply during the periods of financial turmoil, suggesting some evidence on contagion. Conditional correlation between Croatian and Romanian markets and their Western counterparts is modest but it increases during the periods of financial crisis. Conditional correlation coefficients indicate that Macedonian and Serbian stock markets are relatively isolated from the advanced European markets. The return spillovers are investigated with the forecast-error variance decomposition based on the generalized VAR model. Following Diebold and Yilmaz (2012), we develop “spillover indices” based on the variance decomposition results on the generalized VAR model. The results indicate that total spillover index rose sharply during the periods of major financial disruptions. DAX and FTSE100 are the major net transmitters of spillovers to Central and Southeast European markets. There are bi-directional spillovers between DAX and FTSE100, between PX and WIG-20 and between MBI10 and BELEX15. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | Governance Research and Development Centre, Croatia & University of Malta, Faculty of Economics, Management and Accountancy, Department of Insurance | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Securities -- Prices | en_GB |
dc.subject | Stock price forecasting -- Europe | en_GB |
dc.subject | Stock exchanges -- Europe | en_GB |
dc.subject | International finance | en_GB |
dc.subject | Risk management | en_GB |
dc.subject | Economic development -- Europe | en_GB |
dc.title | Volatility spillovers and stock market co-movements among Western, Central and Southeast European stock markets | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.publication.title | Journal of Corporate Governance, Insurance and Risk Management | en_GB |
Appears in Collections: | JCGIRM, Volume 1, Issue 1, 2014 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Volatility spillovers and stock market co-movements among.pdf | 1.37 MB | Adobe PDF | View/Open |
Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.