J.G. de Gooijer
- Simultaneity and asymmetry of returns and volatilities: the emerging Baltic States' stock exchanges
- Studies in Nonlinear Dynamics and Econometrics
- Volume | Issue number
- 16 | 1
- Article number
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and exogenous variables. The model is employed to study the three closely related Baltic Statesâ€™ stock exchanges and the influence exerted by the Russian stock exchange. Using daily data, we find recursive structures with returns in Riga directly depending on returns in Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities, both Riga and Vilnius depend on Tallinn. In addition, we find evidence of asymmetric effects of shocks arising in Moscow and in Baltic States on both returns and volatilities.
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