VOLATILITY SPILLOVER BETWEEN GERMANY, FRANCE, AND CEE STOCK MARKETS

IF 2.6 3区 经济学 Q1 Business, Management and Accounting
V. Chirilă, C. Chirilă
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引用次数: 0

Abstract

The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from Central and East Europe (CEE) and Germany and France with the aim to identify the possibilities of reduction of a portfolio risk. A special attention is granted to the analysis during the pandemic caused by COVID-19. The time-varying parameter vector autoregressive (TVP-VAR) model on which is based the methodology proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical results obtained for the period January 2001 – September 2021 highlight the increase in volatility spillover between the countries analysed when the pandemic caused by COVID-19 was confirmed. The lack of volatility integration of the markets analysed enables the making of arbitrages in order to reduce the risk of a portfolio. The results obtained are important in the management of financial asset portfolios.
德国、法国和中东欧股市的波动溢出效应
中东欧股票市场日益融入欧洲金融市场。金融市场一体化的发展有利于金融市场之间的波动性和收益溢出效应。目前的研究分析了中欧和东欧(CEE)以及德国和法国国家股票市场的波动溢出,旨在确定降低投资组合风险的可能性。在COVID-19引起的大流行期间,对分析给予了特别关注。使用基于Antonakakis和Gabauer(2017)提出的方法的时变参数向量自回归(TVP-VAR)模型来估计波动性溢出的时间演化。2001年1月至2021年9月期间获得的实证结果突出表明,当COVID-19引起的大流行得到确认时,所分析国家之间的波动性溢出效应有所增加。由于所分析的市场缺乏波动性整合,因此可以进行套利,以降低投资组合的风险。所得结果对金融资产组合管理具有重要意义。
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来源期刊
CiteScore
5.80
自引率
3.80%
发文量
48
审稿时长
15 weeks
期刊介绍: The Journal of Business Economics and Management is a peer-reviewed journal which publishes original research papers. The objective of the journal is to provide insights into business and strategic management issues through the publication of high quality research from around the world. We particularly focus on research undertaken in Western Europe but welcome perspectives from other regions of the world that enhance our knowledge in this area. The journal publishes in the following areas of research: Global Business Transition Issues Economic Growth and Development Economics of Organizations and Industries Finance and Investment Strategic Management Marketing Innovations Public Administration.
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