Testing the covariance stationarity of CEE stocks

Štefan Lyócsa and Eduard Baumohl

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates whether the daily stock returns of the Polish, Czech and Hungarian stock markets are covariance stationary. Using the Pagan – Schwert (1990) and Loretan – Phillips (1994) testing procedures, we show that contrary to the widely accepted assumption of covariance stationarity, the stock returns in Central and Eastern European (CEE) stock markets do not appear to be covariance stationary. Our results further suggest that the occurrence of unconditional volatility shifts appears to be synchronized across stocks.

Keywords: covariance stationarity; unconditional volatility; volatility regimes; CEE stock markets (search for similar items in EconPapers)
JEL-codes: C10 G10 G15 (search for similar items in EconPapers)
Date: 2012-12-26
New Economics Papers: this item is included in nep-fmk and nep-tra
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:43432

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