Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices

Kurt Brännäs () and Albina Soultanaeva ()
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Albina Soultanaeva: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

No 696, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: The impact of news of the Moscow and New York stock market exchanges on the

returns and volatilities of the Baltic state stock market indices is studied using daily

return data for the period of 2000-2005. A nonlinear time series model that accounts

for asymmetries in the conditional mean and variance functions is used for the em-

pirical work. News from New York have stronger effect on returns in Tallinn, than

news from Moscow. High risk shocks in New York have a strong impact on volatility

in Tallinn, whereas volatility of Vilnius is more influenced by high risk shocks from

Moscow. Riga seems to be autonomous to news arriving from abroad.

Keywords: Estonia; Latvia; Lithuania; Time series; Estimation; Finance (search for similar items in EconPapers)
JEL-codes: C22 C52 G10 G15 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2006-09-18
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0696

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