Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
Umea Economic Studies Paper No. 725
Posted: 18 Oct 2009
Date Written: September 28, 2009
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. 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 of shocks arising in Moscow and in the Baltic state on both returns and volatilities.
Keywords: Time series, nonlinear, multivariate, finance, value at risk, portfolio allocation
JEL Classification: C32, C51, G11, G12, G14, G15
Suggested Citation: Suggested Citation