poster: POSTER SESSION: Modeling Financial Market Volatility in Transition Markets: A multivariate case
speaker: Leoni Eleni Oikonomikouabstract: This paper presents evidence of linkages across equity markets in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. We apply a multivariate asymmetric EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the Russian Great Recession and Ukrainian crisis episodes. These confirm that the equity markets in question became highly correlated during crises periods. Further, over the full sample period, there is evidence of return comovements, and strong volatility persistence. During the Russian Great Recession sub sample, the ownreturn effects of the markets are stronger than the crossmarket effects and their correlations have increased. Finally, the Ukrainian political crisis indicated no clear information producer, whereas, evidence of returns comovement still exists. The markets in question are mainly partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming previous literature on the particularities of emerging and frontier markets.
timetable:
Thu 28 Jan, 14:00 - 15:00,
<< Go back