Financial crises and volatility spillovers among emerging European equity markets

Ugur Ergun, Zehra Mahmutović

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.


Keywords


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

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DOI: http://dx.doi.org/10.18533/jefs.v2i04.140

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Copyright (c) 2014 Ugur Ergun, Zehra Mahmutović

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