Financial crises and volatility spillovers among emerging European equity markets

Ugur Ergun () and Zehra Mahmutović
Additional contact information
Ugur Ergun: Management Department, Faculty of Economics, International Burch University, BIH
Zehra Mahmutović: Management Department, Faculty of Economics, International Burch University, BIH

Journal of Economic and Financial Studies (JEFS), 2014, vol. 2, issue 4, 63-68

Abstract: Financial crisis not only have statistically but also economically significant impact on global equity market returns. This study analyzes whether current financial crisis affect the equity market returns of Balkan transition economies and what is the extent of such impact by employing Generalized Autoregressive Conditional Heteroscedasticity model is employed on daily data spans from 2006 to 2012 for three transition economies which are Bosnia-Herzegovina, Croatia and Serbia. Empirical result indicates that volatility of Serbian stock price is influenced by the volatility of Bosnian and Croatian stock prices. There is one way volatility transmission from Bosnian and Croatian stock markets to Serbian stock market. High degree of volatility is observed in the stock markets during latest financial crises.

Keywords: Balkan transition economies; GARCH (1.1); Equity markets; Volatility spillover. (search for similar items in EconPapers)
JEL-codes: C32 C58 F36 G11 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://journalofeconomics.org/index.php/site/article/view/140/87 (application/pdf)

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:lrc:lareco:v:2:y:2014:i:4:p:63-68

Access Statistics for this article

More articles in Journal of Economic and Financial Studies (JEFS) from LAR Center Press
Bibliographic data for series maintained by S Marjan ( this e-mail address is bad, please contact ).