News and correlations of CEEC-3 financial markets

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in News and Correlations of CEEC-3 Financial Markets AbstractWe 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 a dominance of country-or market-specific circumstances.JEL: G12, G15, F30.

Integration from Retail Banking to Non-Financial Corporations in EMU

“…This is similar to previous studies (Buttner and Hayo 2010, Tamakoshi and Hamori 2012, Buchholz and Tonzer 2013. …”

Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach

“…In addition, both positive and negative news from Germany significantly affected dependence, with the former having a larger influence than the latter, which was consistent with the findings of Yang and Hamori [7]. In contrast to Büttner and Hayo [4] as well as Yang and Hamori [7,8], however, we provided the dynamic process of dependence between the CEEC-3 and Germany and showed that the positive and negative news affected dependence dynamically. Figures 7 and 8 also confirmed that financial contagion occurred during the global financial and European debt crises, consistent with the evidence provided by Boubakri and Guillaumin [14].…”

“…The first type includes observation-based methods such as those based on the generalized autoregressive conditional heteroskedasticity (GARCH) framework [1,2]. The dynamic conditional correlation (DCC-GARCH)-based approach [3][4][5] and copula-GARCH-based approach [6][7][8] are representative examples. The second type is parameter-based methods.…”

Intraday effect of news on emerging European forex markets: An event study analysis

“…We formally define return as 8 The majority of studies examining the impact of macroeconomic news announcements and central bank monetary policy settings employ various types of (G)ARCH models in order to examine jointly the conditional volatility and market reaction. Examples assessing the issue on emerging European financial markets include Fišer and Horváth (2010), Egert and Kočenda (2007, Büttner and Hayo (2010), Buttner et al (2012), Hanousek et al (2009), andHanousek andKočenda (2011).…”