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on Financial Markets |
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Issue of 2013‒01‒12
three papers chosen by |
| By: | Baumöhl, Eduard; Lyócsa, Štefan |
| Abstract: | The weekly returns of equities are commonly used in the empirical research to avoid the non-synchronicity of daily data. An empirical analysis is used to show that the statistical properties of a weekly stock returns series strongly depend on the method used to construct this series. Three types of weekly returns construction are considered: (i) Wednesday-to-Wednesday, (ii) Friday-to-Friday, and (iii) averaging daily observations within the corresponding week. Considerable distinctions are found between these procedures using data from the S&P500 and DAX stock market indices. Differences occurred in the unit-root tests, identified volatility breaks, unconditional correlations, ARMA-GARCH and DCC MV-GARCH models as well. Our findings provide evidence that the method employed for constructing weekly stock returns can have a decisive effect on the outcomes of empirical studies. |
| Keywords: | stock markets; weekly returns; statistical properties |
| JEL: | C10 G10 C80 |
| Date: | 2012–12–26 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:43431&r=fmk |
| By: | Lyócsa, Štefan; Baumöhl, Eduard |
| Abstract: | This paper investigates whether the daily stock returns of the Polish, Czech and Hungarian stock markets are covariance stationary. Using the Pagan – Schwert (1990) and Loretan – Phillips (1994) testing procedures, we show that contrary to the widely accepted assumption of covariance stationarity, the stock returns in Central and Eastern European (CEE) stock markets do not appear to be covariance stationary. Our results further suggest that the occurrence of unconditional volatility shifts appears to be synchronized across stocks. |
| Keywords: | covariance stationarity; unconditional volatility; volatility regimes; CEE stock markets |
| JEL: | C10 G15 G10 |
| Date: | 2012–12–26 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:43432&r=fmk |
| By: | Elena Andreou; Maria Matsi; Andreas Savvides |
| Abstract: | This paper investigates bi-directional linkages between the stock and foreign exchange markets of a number of emerging economies. A quarto-variate VAR-GARCH model with the BEKK representation is estimated for each of twelve emerging economies to test for spillovers, both in terms of return and volatility, between the emerging stock market, foreign exchange market and global and regional stock markets. We find significant bi-directional spillovers between stock and foreign exchange markets. We also examine the effects of a country’s choice of exchange rate regime, on the one hand, and the Asian financial crisis, on the other, on the volatility spillover mechanism. |
| Keywords: | Volatility Spillovers, MGARCH, Emerging Economies |
| Date: | 2013–01 |
| URL: | http://d.repec.org/n?u=RePEc:ucy:cypeua:01-2013&r=fmk |