Umeå Economic Studies, Department of Economics, Umeå University
No 725:
Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
Kurt Brännäs ()
, Jan G De Gooijer ()
, Carl Lönnbark ()
and Albina Soultanaeva ()
Abstract: The paper suggests a nonlinear and multivariate time
series model framework that enables the study of simultaneity in returns
and in volatilities, as well as asymmetric effects arising from shocks and
an outside stock exchange. Using daily data 2000-2006 for the Baltic state
stock exchanges and that of Moscow we find recursive structures with Riga
directly depending in returns on Tallinn and Vilnius, and Tallinn on
Vilnius. For volatilities both Riga and Vilnius depend on Tallinn. In
addition, we find evidence of asymmetric effects arising in Moscow and in
Baltic state shocks on both returns and volatilities.
Keywords: Time series; nonlinear; multivariate; finance; value at risk; portfolio allocation; (follow links to similar papers)
JEL-Codes: C32; C51; G11; G12; G14; G15; (follow links to similar papers)
19 pages, November 16, 2007
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