Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach

Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis

“…A significant number of studies examined the spillovers effect among markets and provided a new perspective on the degree of such transmission. In this regard, studies that examine the spillover of volatility among developed markets (Hamao et al, 1990;Bae & Karolyi, 1994;Karolyi, 1995;Susmel & Engle, 1994;Koutmos & Booth, 1995;Lin et al, 1994;Kanas, 1998) and in the emerging and frontier markets (Choudhry, 1996;Bekaert & Harvey, 1997;Scheicher, 2001;Malik & Hammoudeh, 2007;Hammoudeh & Li, 2008;Li & Majerowska, 2008;Beirne et al, 2010;Gilenko & Fedorova, 2014) provides important insight in the explanation of volatility transmission across markets. Ng (2000) explore the spillover dissemination between US, Japan and various Pacific-Basin markets, and find evidence of volatility spillover from US and Japan to various Pacific-Basin markets.…”

“…In this article, we apply a multivariate GARCH model with the BEEK framework, which was proposed by R. F. Engle and Kroner (1995). This approach has been proven to be successful to explore the cross-market return and variances spillovers (Li & Majerowska, 2008;Beirne, Caporale, Schulze-Ghattas, & Spagnolo, 2010;Gilenko & Fedorova, 2014). Accordingly, we use BEKK-GARCH model which allows as to estimate return and variances spillovers among EAGLEs stock markets, as well as the influence of Journal of Finance & Economics Research major economies (US, UK and German) on these markets.…”

Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets

“…accession process (Syllignakis and Kouretas, 2010). Li and Majerowska (2008) show limited interactions between the emerging markets (Warsaw and Budapest) and the developed markets (Frankfurt and the U.S). The long-run interactions and cointegration between the U.K., German and Central European stock markets (Hungary, Poland, and Czech Republic) was not found (Gilmore et al, 2005).…”

Kemeruapan Bersyarat dan Korelasi Dinamik Pasaran Saham ASEAN

“…Antaranya, kajian ke atas pasaran saham ASEAN (Ibrahim 2006a(Ibrahim , 2006bKarim & Karim 2012;Hwa, Teng & Sheng 2012), kajian ke atas pasaran saham Asia Baharumshah et al 2003;Tai 2007), kajian khusus untuk negara tertentu seperti Singapura (Maysami & Koh 2000), Indonesia (Ibrahim 2005), Poland dan Hungary (Li & Majerowska 2008), Eropah (Fonseca 2008) dan pasaran saham utama dunia seperti Amerika Syarikat (US), United Kingdom (UK), Jepun dan Jerman (Morana & Beltratti 2008). Selain itu, terdapat kajian ke atas pasaran saham Asia dan hubungannya dengan US dan Jepun (Maysami & Koh 2000;Baharumshah et al 2003;Ibrahim 2005Ibrahim , 2006aIbrahim , 2006b.…”