Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods?

Ngo Thai Hung ()
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Ngo Thai Hung: Faculty of Economics and Law, University of Finance-Marketing, Ho Chi Minh City, Vietnam

Acta Oeconomica, 2020, vol. 70, issue 3, 449-468

Abstract: This study investigates the transmission mechanism of price and volatility spillovers across the Budapest, Warsaw, Prague, Bucharest, and Zagreb stock markets in the pre- and post-financial crisis periods under the framework of the multivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. By using daily closing prices, the results highlight certain interesting findings. I found evidence of price spillovers of the intraregional linkages among the stock price movements in five countries. This analysis shows the existence of bi-directional volatility spillovers between stock markets of the Czech Republic and Croatia in the pre-crisis period, and between Hungary and Romania in the post-crisis period. Also, there are significant volatility spillovers from Croatia to Poland and from Poland to the Czech Republic during two periods. The volatility is found to respond asymmetrically to innovations in other markets. The findings also indicate that the stock markets are more substantially integrated into crisis, as well as the persistence of volatility spillovers between the stock markets increases, and the financial stock markets become more integrated after the crisis period.

Keywords: volatility spillover; 2007 financial crisis; market integration; Central and Eastern Europe (search for similar items in EconPapers)
JEL-codes: C15 C51 G15 (search for similar items in EconPapers)
Date: 2020
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