Spillover effects from London and Frankfurt to Central and Eastern European stock markets

Harrison, B ORCID: 0000-0003-2567-9446 and Moore, W, 2009. Spillover effects from London and Frankfurt to Central and Eastern European stock markets. Applied Financial Economics, 19 (18), pp. 1509-1521.

[img]
Preview
Text
200646_7053 Harrison Postprint.pdf

Download (482kB) | Preview

Abstract

This paper investigates comovement in stock markets between the emerging economies of Central and Eastern Europe (CEE) and the developed markets of Western Europe. Three approaches are employed to examine this issue. The first two approaches, time-varying realised correlation ratios and cointegration statistics, use a two-step technique to derive timevarying estimates of the comovement between returns on CEE and EU stock exchanges. The first step uses common factor analysis to define the factors driving CEE stock exchanges, while the second step evaluates the relationship between the leading principal factor for CEE countries and the DAX and FTSE using time-varying realised correlation and rolling cointegration statistics. The third approach employs multivariate GARCH techniques to obtain estimates of mean and variance spillover effects.

Item Type: Journal article
Publication Title: Applied Financial Economics
Creators: Harrison, B. and Moore, W.
Publisher: Taylor & Francis (Routledge)
Date: 2009
Volume: 19
Number: 18
Identifiers:
NumberType
10.1080/09603100902902220DOI
Divisions: Schools > Nottingham Business School
Depositing User: EPrints Services
Date Added: 09 Oct 2015 10:09
Last Modified: 09 Jun 2017 13:20
URI: http://irep.ntu.ac.uk/id/eprint/8657

Actions (login required)

Edit View Edit View

Views

Views per month over past year

Downloads

Downloads per month over past year