Differences among volatility patterns of Visegrad countries' stock markets

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Differences among volatility patterns of Visegrad countries' stock markets

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Differences among volatility patterns of Visegrad countries' stock markets

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

7

Strana od-do

109-115

Název nakladatele

Silesian University in Opava, School of Business Administration in Karviná

Místo vydání

Karviná

Místo konání akce

Praha

Datum konání akce

13. 10. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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