EconPapers    
Economics at your fingertips  
 

Stock market's response to real output shocks in Eastern European frontier markets: A VARwAL model

Numan Ülkü, Duminda Kuruppuarachchi and Olga Kuzmicheva

Emerging Markets Review, 2017, vol. 33, issue C, 140-154

Abstract: We study stock market's response to real output shocks in the small and young Eastern European frontier markets, and compare to the larger European emerging- and world's most developed markets. To obtain a complete time profile of stock market's response, we use a Vector Auto-regression with Asymmetric Leads (VARwAL) model, which is a special case of the mix (noncausal) VARs. Results confirm its efficacy: in every country, both the forward-looking and delayed components of stock market's response are significant. Stock market returns forecast future real output equally well in Eastern European frontier markets as in developed and larger-emerging markets. The distant-horizon forward-looking response is larger in frontier markets, whereas the near-horizon forward-looking response is larger in developed markets.

Keywords: Stock market – real output interaction; Eastern European frontier markets; VARwAL model (search for similar items in EconPapers)
JEL-codes: E44 P34 G14 C58 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014117303710
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:33:y:2017:i:c:p:140-154

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2018-02-24
Handle: RePEc:eee:ememar:v:33:y:2017:i:c:p:140-154