Switching Volatility in Emerging Stock Markets: Evidence from the New EU Member Countries

Syllignakis, Manolis; Κουρέτας, Γεώργιος Π.

doi:10.2139/ssrn.1099510

Cited by 2 publications

(2 citation statements)

References 47 publications

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“…This persistency † † † Beta is a measure of systematic risk of an individual stock, and the std. is in accordance with other studies of CEE markets (see, for example, [32] or [41]). Finally, an example of estimated smoothed probability for a high volatility regime of LEDO stock was graphically constructed and compared to the movements on CROBEX return (see Figure 1).…”

Section: Empirical Analysissupporting

confidence: 93%

Testing for regime-switching CAPM on Zagreb Stock Exchange

Škrinjarić

2014

Croat. Oper. Res. Rev.

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Abstract. The standard Capital Asset Pricing Model assumes that a linear relationship exists between the risk (beta) and the expected excess return of a stock. However, empirical findings have shown over the years that this relationship varies over time. Stock markets undergo phases of greater and smaller volatility in which beta varies accordingly (undergoes different regimes). Given that the Croatian capital market is still insufficiently investigated, the aim of this paper is to explore the possibility of a nonlinear relationship between the stock risk and return. Linear and Markov-switching models (Hamilton 1989) are examined on the Zagreb Stock Exchange based on monthly data on 21 stocks, ranging from January 2005 to December 2013. In that way, investors can use the results based on the best model when making decisions about buying stocks. Since this is one of the first papers on regime-switching on the Croatian capital market, it will hopefully contribute to the existing literature on investing.

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Section: Empirical Analysissupporting

confidence: 93%

Testing for regime-switching CAPM on Zagreb Stock Exchange

Škrinjarić

2014

Croat. Oper. Res. Rev.

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“…First, there are strong linkages among CE stock, bond and currency markets, especially during medium- and high-volatility periods ( Csontó, 2014 ). Second, interdependence between financial markets in the analysed countries and highly-developed economies grew significantly after the former's accession to the EU in 2004 (e.g., Brzeszczynski and Welfe, 2014 ; Hanousek et al, 2009 ; Égert and Kočenda, 2007 ; Bubák et al, 2011 ; Kouretas and Syllignakis, 2012 ).…”

Section: Methodsmentioning

confidence: 99%