CENTRAL AND EASTERN EUROPEAN STOCK MARKETS IN TIMES OF CRISIS (International Conference "Recent Advances in Economic and Social Research", 13-14 mai 2015, București)
Delia Diaconaşu ()
Institute for Economic Forecasting Conference Proceedings from Institute for Economic Forecasting
The recent collapse of international capital markets, after a period of accelerated development, led inevitably to refresh interests on the subject emerging market volatility. In this regard, the purpose of this study is to analyse the impact of macroeconomic factors on the evolution of volatility of one emerging stock market from Central and Eastern Europe in the period January 2010 - November 2013. Using ARCH family models and a set of variables: the volume of trading BET, the interest rate on short-term exchange rates EUR/ROL and USD/EUR and the American stock index S&P500, we tested the impact of the determinants of national versus international on the variation of an index from Emerging Europe after the crisis.
Pages: 11 pages
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Persistent link: https://EconPapers.repec.org/RePEc:rjr:wpconf:151205
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