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

Umea Economic Studies Paper No. 725

Posted: 18 Oct 2009

See all articles by Kurt Brannas

Kurt Brannas

Umeå University - Department of Economics

Jan G. De Gooijer

Amsterdam School of Economics

Carl Lönnbark

Swedbank; Umeå University

Albina Soultanaeva

Umeå University - Department of Economics

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

Brannas, Kurt and De Gooijer, Jan G. and Lönnbark, Carl and Lönnbark, Carl and Soultanaeva, Albina, Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges (September 28, 2009). Umea Economic Studies Paper No. 725, Available at SSRN: https://ssrn.com/abstract=1490286

Kurt Brannas

Umeå University - Department of Economics ( email )

Umea University
Department of Economics
SE-90187 Umea
Sweden
+46-90-786 6101 (Phone)
+46-90-772302 (Fax)

Jan G. De Gooijer

Amsterdam School of Economics ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

HOME PAGE: http://www.jandegooijer.nl

Carl Lönnbark (Contact Author)

Swedbank ( email )

SE-105 34 Stockholm
Sweden

Umeå University ( email )

Samhallsvetarhuset, Plan 2
Umea University
Umeå, SE 901 87
Sweden

Albina Soultanaeva

Umeå University - Department of Economics ( email )

Umeå University
Umea, SE - 90187
Sweden

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