Since 2014
Financial crises and volatility spillovers among emerging European equity markets
Journal of Economic & Financial Studies
View Archive Info| Field | Value | |
| Title |
Financial crises and volatility spillovers among emerging European equity markets
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| Creator |
Ergun, Ugur
Mahmutović, Zehra |
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| Subject |
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Balkan transition economies; GARCH (1.1); Equity markets; Volatility spillover. C32; C58; G11; F36. |
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| Description |
Financial crisis not only have statistically but also economically significant impact on global equity market returns. This study analyzes whether current financial crisis affect the equity market returns of Balkan transition economies and what is the extent of such impact by employing Generalized Autoregressive Conditional Heteroscedasticity model is employed on daily data spans from 2006 to 2012 for three transition economies which are Bosnia-Herzegovina, Croatia and Serbia. Empirical result indicates that volatility of Serbian stock price is influenced by the volatility of Bosnian and Croatian stock prices. There is one way volatility transmission from Bosnian and Croatian stock markets to Serbian stock market. High degree of volatility is observed in the stock markets during latest financial crises.
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| Publisher |
LAR Center Press
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| Contributor |
—
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| Date |
2014-08-20
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://journalofeconomics.org/index.php/site/article/view/140
10.18533/jefs.v2i04.140 |
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| Source |
Journal of Economic & Financial Studies; Vol 2, No 04 (2014): August; 63-68
2379-9471 2379-9463 |
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| Language |
eng
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| Relation |
http://journalofeconomics.org/index.php/site/article/view/140/241
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| Rights |
Copyright (c) 2014 Ugur Ergun, Zehra Mahmutović
http://creativecommons.org/licenses/by/4.0 |
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