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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

11

Strana od-do

633-643

Název nakladatele

Tomas Bata University in Zlín

Místo vydání

Zlín

Místo konání akce

Zlín

Datum konání akce

25. 4. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000329435800053