کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1003086 | 1481796 | 2016 | 14 صفحه PDF | دانلود رایگان |
• Co-movements between daily ETF returns representing the countries under study are significant.
• Emerging markets (Turkey, Russia and Poland) are more volatile than the developed markets (Germany and Austria).
• However, volatilities in the Turkish market fade quickly while volatility shocks fade away slowly in Austria and Germany.
• Austria and Germany have α + ß values close to 1.0 indicating that the effects of the volatility shocks fade away slowly. Turkey stands out in the sample because it has a highly volatile, jumpy market. However, as far as the long term persistence is concerned, volatilities in the Turkish market fade quickly.
• There is strong evidence of volatility spillovers.
• The results show that with the exception of Turkey, other equity markets experience volatility spillovers from other markets in the sample.
This paper investigates the linkages among equity returns (based on exchange traded funds, ETF) and transmission of volatilities in the following countries: Germany, Austria, Poland, Russia and Turkey. Multivariate Autoregressive Moving Averages (MARMA) and the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) methodologies are utilized. The findings include the existence of significant co-movement of returns among countries in the sample. Also, Turkish and Russian markets were found to be more volatile than Austria, Germany and Poland. However, volatilities in Russia and Turkey do not persist very long. Finally, there is strong evidence of volatility spillovers. All of the countries in the sample, with the exception of Turkey, experience volatility spillovers from other markets. The presence of spillovers among return series and persistence of volatilities are useful to investors interested in diversifying their portfolios and to traders/fund managers who are interested in maximizing returns.
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Journal: Research in International Business and Finance - Volume 37, May 2016, Pages 583–596