Financial crises and volatility spillovers among emerging European equity markets

Authors

  • Ugur Ergun Management Department, Faculty of Economics, International Burch University, BIH
  • Zehra Mahmutović Management Department, Faculty of Economics, International Burch University, BIH

DOI:

https://doi.org/10.18533/jefs.v2i04.140

Keywords:

Balkan transition economies, GARCH (1.1), Equity markets, Volatility spillover.

Abstract

Financial crisis not only have statistically but also economically significant impact on global equity market returns. This study analyzes whether current financial crisis affect the equity market returns of Balkan transition economies and what is the extent of such impact by employing Generalized Autoregressive Conditional Heteroscedasticity model is employed on daily data spans from 2006 to 2012 for three transition economies which are Bosnia-Herzegovina, Croatia and Serbia. Empirical result indicates that volatility of Serbian stock price is influenced by the volatility of Bosnian and Croatian stock prices. There is one way volatility transmission from Bosnian and Croatian stock markets to Serbian stock market. High degree of volatility is observed in the stock markets during latest financial crises.

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Published

2014-08-20

Issue

Vol. 2 No. 04 (2014): August

Section

Articles

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