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Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Author

Listed:
  • Brännäs, Kurt

    (Department of Economics, Umeå University)

  • G De Gooijer, Jan

    (Department of Quantitative Economics)

  • Lönnbark, Carl

    (Department of Economics, Umeå University)

  • Soultanaeva, Albina

    (Department of Economics, Umeå University)

Abstract

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find recursive structures with Riga directly depending in returns on Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities both Riga and Vilnius depend on Tallinn. In addition, we find evidence of asymmetric effects arising in Moscow and in Baltic state shocks on both returns and volatilities.

Suggested Citation

  • Brännäs, Kurt & G De Gooijer, Jan & Lönnbark, Carl & Soultanaeva, Albina, 2007. "Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges," Umeå Economic Studies 725, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0725
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    Citations

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    Cited by:

    1. Hellström, Jörgen & Soultanaeva, Albina, 2010. "The Impact of Stock Market Jumps on Time-Varying Return Correlations: Empirical Evidence from the Baltic Countries," Umeå Economic Studies 816, Umeå University, Department of Economics.
    2. Gil-Alana, Luis A. & Gupta, Rangan & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2018. "Market efficiency of Baltic stock markets: A fractional integration approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 511(C), pages 251-262.
    3. Humavindu, Michael N, 2008. "Essays on the Namibian Economy," Umeå Economic Studies 745, Umeå University, Department of Economics.
    4. Soultanaeva, Albina, 2008. "Impact of Political News on the Baltic State Stock Markets," Umeå Economic Studies 735, Umeå University, Department of Economics.

    More about this item

    Keywords

    Time series; nonlinear; multivariate; finance; value at risk; portfolio allocation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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