Volatility and dynamic conditional correlations of European emerging stock markets

Eduard Baumohl and Štefan Lyócsa

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the relationship between time-varying correlations and conditional volatility among eight European emerging stock markets and the MSCI World stock market index from January 2000 to December 2012. Correlations are estimated in the standard and asymmetric dynamic conditional correlation (DCC) model frameworks. The results can be summarized by three main findings: (1) asymmetry in volatility is not a common phenomenon in emerging markets; (2) asymmetry in correlations is found only with respect to the Hungarian stock market; and (3) the relationship between volatility and correlations is positive and significant in all countries included in the study. Thus, diversification benefits decrease during periods of higher volatility.

Keywords: conditional volatility; time-varying correlations; emerging markets (search for similar items in EconPapers)
JEL-codes: C32 G01 G15 (search for similar items in EconPapers)
Date: 2013-09-18
New Economics Papers: this item is included in nep-eec and nep-fmk
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49898

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