An analysis of CEE equity market integration and their volatility spillover effects. Issue 1 (6th September 2019)

• Record Type: Journal Article
• Authors: Hung, Ngo Thai
• Is Part Of: European journal of management and business economics. Volume 29:Issue 1(2020)
• Page Start: 23
• Page End: 40
• Publication Date: 2019-09-06
• Subjects: Volatility spillovers -- DCC -- BEKK -- CCC -- CEE finance -- Conditional correlations; Industrial management -- Periodicals; Managerial economics -- Periodicals; 338
• DOI: 10.1108/EJMBE-01-2019-0007
• Languages: English
• ISSNs: 2444-8451

Abstract

Abstract : Purpose: The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach: The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings: The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications: These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk. Originality/value: Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.