2019
DOI: 10.1108/ejmbe-01-2019-0007
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Abstract: Purpose The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volati… Show more

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Cited by 27 publications
(16 citation statements)
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“…It relates to one of a well-known feature of financial markets, that correlations increase in bear markets (Longin and Solnik, 2002). Our results are in line with the previous studies showing that the stock markets in the CEE countries are more integrated after the crisis (Gjika and Horváth, 2013;Baumöhl, 2013;Vychytilova, 2018;Hung, 2019;Moagăr-Poladian et al, 2019). The coherencies between the markets behave differently in different quantiles and subperiods due to the fact, that negative extreme returns attract investors' attention stronger than moderate or positive ones.…”
Section: Discussion Of Resultssupporting
confidence: 92%
“…It relates to one of a well-known feature of financial markets, that correlations increase in bear markets (Longin and Solnik, 2002). Our results are in line with the previous studies showing that the stock markets in the CEE countries are more integrated after the crisis (Gjika and Horváth, 2013;Baumöhl, 2013;Vychytilova, 2018;Hung, 2019;Moagăr-Poladian et al, 2019). The coherencies between the markets behave differently in different quantiles and subperiods due to the fact, that negative extreme returns attract investors' attention stronger than moderate or positive ones.…”
Section: Discussion Of Resultssupporting
confidence: 92%
“…There have been several pieces of evidence in the literature (e.g. Diebold and Yılmaz, 2009; Diebold and Yılmaz, 2012; Antonakakis, 2012; Antonakakis and Gabauer, 2017; Antonakakis et al , 2018 and Hung, 2019) that establish the directional volatility relation and market connectedness among various financial assets. Hence, we model the returns-based volatility for the commodities and equity market to see the spillover and market connectedness between those assets.…”
Section: Resultsmentioning
confidence: 99%
“…Furthermore, the emerging stock markets of our sample have become more established and more mature through time. We observe that the developing markets in the selected economies with a relatively high and stable growth rate in the CEE region in recent years are significant, and they are frequently good choices for investors hunting for diversifying their portfolio globally (Hung, 2019(Hung, , 2020.…”
Section: Datamentioning
confidence: 94%