IDEAS home Printed from https://ideas.repec.org/a/fau/fauart/v65y2015i6p477-498.html
   My bibliography  Save this article

Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies

Author

Listed:
  • Dejan Zivkov

    (Business School of Novi Sad, Serbia
    University of Novi Sad, Serbia)

  • Jovan Njegic

    (Business School of Novi Sad, Serbia
    University of Novi Sad, Serbia)

  • Ivan Milenkovic

    (Faculty of Economics Subotica, Serbia
    University of Novi Sad, Serbia)

Abstract

This paper investigates the second moment spillover effect between stock returns and exchange rate changes in both directions in four Eastern European emerging markets, assuming the presence of multiple structural breaks. The data sample consists of daily observations and the methodology is based on a two-step symmetric/asymmetric fractionally integrated generalized autoregressive conditional heteroskedasticity approach, with a rolling technique and structural breaks integration. The results indicate that the spillover effect has a much greater impact when spillover is from the exchange rate market toward the stock market than in the opposite case and it is time-varying. The inclusion of structural breaks in the model implies that the volatility spillover effect might be biased in stock markets. The applied models suggest that volatility persistence is overestimated in all asset markets if sudden changes are not recognized in the models.

Suggested Citation

  • Dejan Zivkov & Jovan Njegic & Ivan Milenkovic, 2015. "Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(6), pages 477-498, December.
  • Handle: RePEc:fau:fauart:v:65:y:2015:i:6:p:477-498
    as

    Download full text from publisher

    File URL: http://journal.fsv.cuni.cz/storage/1344_njegic.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alexey Yurievich Mikhaylov, 2018. "Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 321-326.
    2. Fahad Waqas Mir & Nousheen Tariq Bhutta, 2024. "Impact of return and volatility spillover from banking industry to other industries: An evidence from Pakistan," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1680-1695, April.
    3. Balaban, Suzana & Živkov, Dejan & Milenković, Ivan, 2019. "Impact of an unexplained component of real exchange rate volatility on FDI: Evidence from transition countries," Economic Systems, Elsevier, vol. 43(3).

    More about this item

    Keywords

    exchange rate; stocks; FIGARCH models; modified ICSS algorithm; Eastern European countries;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:65:y:2015:i:6:p:477-498. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.