ASYMMETRIC IMPACT OF SHOCKS ON FINANCIAL MARKET VOLATILITY: COMPARISON OF EMERGING AND DEVELOPED STOCK MARKETS

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086785" target="_blank" >RIV/61989100:27510/13:86086785 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
ASYMMETRIC IMPACT OF SHOCKS ON FINANCIAL MARKET VOLATILITY: COMPARISON OF EMERGING AND DEVELOPED STOCK MARKETS
Original language description
This paper deals with asymmetric impact and response of stock market volatility to external shocks. In this paper the effects of positive and negative shocks on volatility of emerging and developed stock markets using asymmetric conditional volatility models are investigated for the data set covering period of 2004-2012 years. A special aim of this paper is to compare behavior of investigated markets before, during and after global financial crisis. Commonly used asymmetric volatility models, i. e. EGARCH and TGARCH models were applied. In addition, we constructed the news impact functions to study asymmetric impact of news on volatility under asymmetric ARCH family models. Emerging stock markets are represented by Czech and Polish equity markets. As aproxy to the Czech and Polish stock markets the PX and WIG20 indexes were used. The developed stock markets were represented by U.S. index S&P500 and British index FTSE100. We found that asymmetric ARCH family models with Student?s t dis
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Finance and the Performance of Firms in Science, Education and Practice : proceedings of the 6th international scientific conference : April 25-26, 2013, Zlín, Czech Republic
ISBN
978-80-7454-246-6
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
633-643
Publisher name
Tomas Bata University in Zlín
Place of publication
Zlín
Event location
Zlín
Event date
Apr 25, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000329435800053

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