Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1002321 | Research in International Business and Finance | 2008 | 20 Pages |
Abstract
This paper examines the linkages between the emerging stock markets in Warsaw and Budapest and the established markets in Frankfurt and the U.S. By using a four-variable asymmetric GARCH-BEKK model, we find evidence of returns and volatility spillovers from the developed to the emerging markets. However, as the estimated time-varying conditional covariances and the variance decompositions indicate limited interactions among the markets, the emerging markets are weakly linked to the developed markets. The implication is that foreign investors may benefit from the reduction of risk by adding the stocks in the emerging markets to their investment portfolio.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Hong Li, Ewa Majerowska,