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Volatility Spillovers in New Member States: A Bayesian Model


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  • Product Description

Volatility spillovers in stock markets have become an important phenomenon, especially in times of crises. Mechanisms of shock transmission from one market to another are important for the international portfolio diversification. Our work examines impulse responses and variance decomposition of main stock indices in emerging Central European markets (Czech Republic, Poland, Slovakia and Hungary) in the period of January 2007 to August 2009. Two models are used: A vector autoregression (VAR) model with constant variance of residuals and a time varying parameter vector autoregression (TVP-VAR) model with a stochastic volatility. Opposingly of other comparable studies, Bayesian methods are used in both models. Our results confirm the presence of volatility spillovers among all markets. Interestingly, we find significant opposite transmission of shocks from Czech Republic to Poland and Hungary, suggesting that investors see the Central European exchanges as separate markets. The text was originally submitted as a master work at the Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague.

Product Specifications
SKU :COC63971
AuthorRadek Janhuba
Number of Pages84
Publishing Year2013-09-22T00:00:00.000
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00