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 ()
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Carl Lönnbark: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Albina Soultanaeva: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

No 725, Umeå Economic Studies from Umeå University, Department of Economics

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 (search for similar items in EconPapers)
JEL-codes: C32 C51 G11 G12 G14 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2007-11-16

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