Stock market integration: a multivariate GARCH analysis on Poland and Hungary

Li, Hong and Majerowska, Ewa (2006) Stock market integration: a multivariate GARCH analysis on Poland and Hungary. (Discussion Paper) Kingston upon Thames, U.K. : Faculty of Arts and Social Sciences, Kingston University. 32 p. (Economics Discussion Paper)

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Abstract

An examination of the linkages between the emerging stock markets in Warsaw and Budapest and the established markets in Frankfurt and the U.S. By using a four-variable asymmetric GARCH-BEKK model, we find evidence of return and volatility spillovers from the developed to the emerging markets. However, as the estimated time-varying conditional co-variances and the variance decompositions indicate limited interactions among the markets, the emerging markets are weakly linked to the developed markets. The implication is that foreign investors will benefit from the reduction of risk by adding the stocks in the emerging markets to their investment portfolio.

Item Type: Monograph (Discussion Paper)
Additional Information: Economics discussion paper, 2006/2
Physical Location: This book is held in stock at Kingston University Library.
Uncontrolled Keywords: stock market integration, volatility spillovers, asymmetric response, volatility
Research Area: Economics and econometrics
Faculty, School or Research Centre: Faculty of Arts and Social Sciences > School of Economics (until November 2012)
Depositing User: Susan Miles
Date Deposited: 03 Jul 2007
Last Modified: 16 Jul 2012 21:48
URI: http://eprints.kingston.ac.uk/id/eprint/1628

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