Scandinavian Working Papers in Economics
Umeå Economic Studies,
Umeå University, Department of Economics
No 696: Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices
Kurt Brännäs () and Albina Soultanaeva ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Albina Soultanaeva: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Abstract: The impact of news of the Moscow and New York stock market exchanges on the
returns and volatilities of the Baltic state stock market indices is studied using daily
return data for the period of 2000-2005. A nonlinear time series model that accounts
for asymmetries in the conditional mean and variance functions is used for the em-
pirical work. News from New York have stronger effect on returns in Tallinn, than
news from Moscow. High risk shocks in New York have a strong impact on volatility
in Tallinn, whereas volatility of Vilnius is more influenced by high risk shocks from
Moscow. Riga seems to be autonomous to news arriving from abroad.
Keywords: Estonia; Latvia; Lithuania; Time series; Estimation; Finance
22 pages, September 18, 2006
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