Stock market integration: a multivariate GARCH analysis on Poland and Hungary

Hong Li () and Ewa Majerowska ()
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Hong Li: Kingston University London
Ewa Majerowska: University of Gdansk, Poland

No 2006-2, Economics Discussion Papers from School of Economics, Kingston University London

Abstract: An examination of the linkages between the emerging stock markets in Warsaw and Budapest and the established markets in Frankfurt and the U.S. By using a four-variable asymmetric GARCH-BEKK model, we find evidence of return and volatility spillovers from the developed to the emerging markets. However, as the estimated time-varying conditional co-variances and the variance decompositions indicate limited interactions among the markets, the emerging markets are weakly linked to the developed markets. The implication is that foreign investors will benefit from the reduction of risk by adding the stocks in the emerging markets to their investment portfolio.

Keywords: stock market integration; volatility spillovers; multivariate GARCH model; asymmetric response of volatility (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2006-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:kngedp:2006_002

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