Differences among volatility patterns of Visegrad countries' stock markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86096102" target="_blank" >RIV/61989100:27510/15:86096102 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Differences among volatility patterns of Visegrad countries' stock markets
Original language description
Current study focuses on returns of representative Morgan Stanley Capital International (MSCI) stock indices of selected Visegrad countries and the analysis of its volatility relations. We compare it with volatility relations of representative MSCI stock index returns formed from markets' data of those countries, as well. The aim of the paper is to estimate differences in volatility relations among selected MSCI stock indices in crises times. We paid our attention to the global financial crisis period and the sovereign debt crisis in the European Monetary Union (EMU), too. As the major estimation method it is deployed GARCH (1,1) and TARCH (1,1) models. We obtained data in daily frequency for period from June 2002 till June 2015. Whereas within the stock returns of MSCI CEE index its previous day volatility is significant, it does not remain in selected Visegrad countries. We also prove what affects its volatility more, whether the increase or decrease of stock returns. Otherwise, the effect of higher volatility affected by increase of those stock returns is the strongest in times before the global financial crisis, whereas it is weaker in times of the sovereign debt crisis in the EMU.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 15th International Conference on Finance and Banking
ISBN
978-80-7510-186-0
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
109-115
Publisher name
Silesian University in Opava, School of Business Administration in Karviná
Place of publication
Karviná
Event location
Praha
Event date
Oct 13, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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