Theoretical and Applied Economics
No. 2 / 2016 (607), Summer
Asymmetric stochastic volatility in central and eastern European stock markets
Istanbul University, Turkey
Abstract. The goal of this paper is to investigate the asymmetric impact of innovations on volatility and the relationship between the stock return and volatility dynamics in the case of Central and Eastern European (CEE) markets using the framework of asymmetric stochastic volatility models. The empirical findings provide weak evidence of asymmetry, a significant and high volatility persistence in the stock markets of the CEE region. The most interesting and different results obtained from the present paper are that there are both of a high variability of volatility and a high volatility persistence in the stock markets of Poland and Lithuania. Additionally, the stock markets of the Czech Republic and Hungary, which have leverage effect, have lower variability of volatility and in these markets the future volatility is relatively certain as compared to the other stock markets from the CEE region.
Contents
The prerequisites of social development when planning for decentralization
Testing the validity of the Feldstein-Horioka Puzzle: New evidence from structural breaks for Turkey
The role of institutional pressures in developing countries. Implications for IFRS
Children’s health insurance coverage in the United States: The role of parents’ ethnicity and immigration status
Axiomatical examination of the neoclassical economic model. Logical assessment of the assumptions of neoclassical economic model
An empirical investigation of banking sector development and economic growth in a panel of selected SAARC countries
A common agency within bureaucracy
From public services to networks of social enterprises. Strategic trends for South-Eastern Europe
The relationship between inclusive growth, inequality and poverty in Africa
Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis
Asymmetric stochastic volatility in central and eastern European stock markets
Bankruptcy prediction based on the debt ratio
The effects of saving-investment gap on economic growth in developing countries: A clustering and panel data analysis
Impact of educational expenditure on economic growth in major Asian countries: Evidence from econometric analysis
Developing a financial inclusion index and inclusive growth in India
A comprehensive view on the manifestations of aggregate demand and aggregate supply shocks in Greece, Ireland, Italy and Portugal
Examining the determinants of FDI inflows in India
A review of corruption based on the social and economic evolution of Ancient Greece and Ancient Rome
Estimating the exchange rate in the context of Romania's integration in the Eurozone